solving Non-linear optimization with non-linear constraint using fmincon Matlab

Question

I'm trying to solve a non-liner optimization problem with a non-liner constraint by applying fmincon function in matlab. However, I got the following error: "Failure in initial user-supplied nonlinear constraint function evaluation. FMINCON cannot continue." I checked on the web a lot but I couldn't fixed it. It seams that it is a very general error message. I made my problem very small with just 3 variables, still I get the same result. here are my functions:

function main()
global x
global y
y(2)=15;
y(3)=15;
a=[0.01;0.05];
opts = optimoptions(@fmincon,'Algorithm','interior-point')
[x,fval] = fmincon(@objfun,a,[],[],[],[],0.01,1,@mycon,opts)
y(1)=x(2)*y(2)+x(3)*y(3);
x
y
fval
end

where

function [c,ceq ] = mycon( x )
c=-(x(3)*y(3)+x(2)*y(2))*x(1)+5;
ceq=[];
end

and

function fun = objfun( x )
      fun=@(x)(x(2)*y(2)+x(3)*y(3))*(1+(1/x(1)-1)+x(1))+y(2)*(1+     (1/x(2)-1)+x(2))+y(3)*(1+(1/x(3)-1)+x(3));
    end

Ander Biguri Ander Biguri · Accepted Answer · 2015-05-18T17:02:25

If you read the whole error you'll see that actually says:

Index exceeds matrix dimensions.

Error in mycon (line 2)
c=-(x(3)*y(3)+x(2)*y(2))*x(1)+5;

Thats because your initial conditions are a=[0.01;0.05]; but you actually want to solve 3 variables! (or you use 3 of them in the equations, e.g. x(3)).

However if you solve that you'll get error "undefined function y" which makes me think that you can not use global variable for the constrains.

solving Non-linear optimization with non-linear constraint using fmincon Matlab

1 Answers