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Re: convex optimization problem
Posted:
Aug 24, 2012 8:51 AM


On 8/24/2012 4:25 AM, kumar vishwajeet wrote: > Hi, > I have an objective function of the following type: > J = x log(x/k) + cx Subject to : f1(x) = alpha and f2(x) = beta > where alpha, beta, k and c are constants and x is a vector to be > solved for. So, it is a convex function. Which is the best > optimization routine in MATLAB to solve such problems. I'm currently > using fmincon and it is slower than snail. > > Thanks. This is a convex problem only with restrictions on the functions f1 and f2. I mean, there can be multiple local minima, depending on the functions f1 and f2.
But as far as your question goes, the only solver in the toolbox to handle this type of problem is fmincon. If you are dissatisfied with its speed, you might want to try some of the suggestions in http://www.mathworks.com/help/toolbox/optim/ug/br44iv51.html#br44pif You might also want to try various algorithms, such as sqp.
Good luck,
Alan Weiss MATLAB mathematical toolbox documentation



