optimize piece-wise constant function

0
votes

I am wondering if MATLAB has a solver that is able to maximize a multivariate piece-wise constant function.

When I use the naïve optimize function, it gets stuck at the initial value since it's constant within a neighborhood of the initial value.

1
matlabmathematical-optimization
before you go trying something different, have you tried just starting with a different initial value. – Frederick
I'm not sure that maximizing a piece-wise constant function is really do-able... from an optimization point of view. Maybe some sort of line search or Monte Carlo (random guesses) method would serve you well. – Frederick
It might be helpful if you provide your objective function and the accompanying constraints. – lightalchemist

1 Answers

1
votes

I would follow a more elaborated version of @Frederick suggestion. A simple stochastic approach, but not exactly a linear search because of the multivariate characteristic: simulated annealing