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Topic: Lower bound of a non-convex program through the dual problem in Matlab
Replies: 5   Last Post: Jan 23, 2013 3:59 AM

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Re: Lower bound of a non-convex program through the dual problem in Matlab
Posted: Jan 22, 2013 12:33 PM

Dear Bruno,

Thanks for your reply. I tried the 'interior-point-method' to solve the following (trial) optimization problem:

min_x exp(-x) * cos(2*pi*x)
s.t. x >= 0

I used the following options:

options = optimset('Display','off','Algorithm','interior-point','MaxFunEvals', 5000,'TolFun', 1e-6,'TolX',1e-6,'TolCon',1e-6, 'MaxIter', 500,'Display','off');

[x,netval,exitflag] = fmincon(@NonConvexFunction,x0,[],[],[],[],0,[]); %% 0 is the %% lower bound of x

Unfortunately, my solution is getting stuck at a local minimum. Please let me know if I can get the lower bounds of this problem through the interior point method.

Please also inform me if you know of any other software that provides bounds for non-convex problems.

Thanks,

Nazmul

"Bruno Luong" <b.luong@fogale.findmycountry> wrote in message <kddrp8\$p10\$1@newscl01ah.mathworks.com>...
> Use fmincon with interior-point method. I believe it minimizes the dual-gap.
>
> Bruno

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