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I am trying to implement Objective function in Matlab. enter image description here

Here a,b,c are constants, D_k and E_k are uniformly distributed vectors between 0 to 1. P_k is a constant vector. E_k is decision variable. The objective is to maximize subject to E_k value between [0.0001, 1]. I am trying to use fmincon but being new to matlab optimization, I am unable get it right. I shall appreciate any help.

sukhalid
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  • Even convex stochastic optimization is hard. But possibly non-convex SP, ouch.., don't do this. The only easy approach would be *sample average approximation*. But this will probably reach the limit of these NLP-solvers. – sascha Mar 15 '17 at 02:14
  • Sascha thanks for comment. But can this problem be solved using convex optimization if we consider E_k as decision variable subject same 0.0001 to 1. Secondly, I need help to code this. I am confused about syntax of Matlab optimization toolbox. – sukhalid Mar 15 '17 at 14:13

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