How to use fmincon to optimize two control vectors of a function

Question

I have a function of 2 different vector. These are the control vector (decision variables) of the function. I want to use fmincon to optimize this function and also get the both control vector results separately. I have tried to use handle ,@, but I got an error. The function is:

function f = myFS(x,sv)      % x is a vector (5,1)
    f = norm(x)^2-sigma*(sv(1)+sv(2));
end

%% I tried to write fmincone to consider both control vectors (x and sv)

  [Xtemp(:,h2),Fval, fiasco] = fmincon(@(x,sv)myFS(x,sv)...
,xstart,[],[],[],[],VLB,VUB,@(x,sv)myCon(sv),options);

Here is the error I get:

Error using myFS (line 12) Not enough input arguments.

Error in fmincon (line 564) initVals.f = feval(funfcn{3},X,varargin{:});

Error in main_Econstraint (line 58) [Xtemp(:,h2),Fval, fiasco] = fmincon('myFS',xstart,[],[],[],[],VLB,VUB,@(x,sv)myCon(sv),options);

Thanks

alexandre iolov alexandre iolov · Accepted Answer · 2015-03-31T14:53:15

fmincon expects your function to be of a single variable, there is no getting around that, but see:

http://se.mathworks.com/help/optim/ug/passing-extra-parameters.html

for example, if both x, cv are variables of the optimization you can combine them and then split them in the actual objective

for example

x_cv = vertcat(x, cv) and then x = x_cv(1:5); cv = x_cv(6:end)'

if cv is not a variable of the optimization, then 'freeze it' as the link above suggests

How to use fmincon to optimize two control vectors of a function

1 Answers