Constrained Optimization

Finding the minimum of a function of several variables using “fmincon”

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The function to be minimized should be a continuous function

fmincon finds a minimum of a constrained nonlinear multivariable function, and by

default is based on the SQP (Sequential Quadratic Programming) algorithm.

b and beq are vectors, A and Aeq are matrices, c(x) and ceq(x) are functions that return
vectors, and f(x) is a function that returns a scalar. f(x), c(x), and ceq(x) can be nonlinear
functions.
x, lb, and ub can be passed as vectors or matrices 2
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fmincon

Find minimum of unconstrained multivariable function

x = fmincon(fun,x0,A,b)
x = fmincon(fun,x0,A,b,Aeq,beq)
x = fmincon(fun,x0,A,b,Aeq,beq,lb,ub)
x = fmincon(fun,x0,A,b,Aeq,beq,lb,ub,nonlcon)
x = fmincon(fun,x0,A,b,Aeq,beq,lb,ub,nonlcon,options)
x = fmincon(fun,x0,A,b,Aeq,beq,lb,ub,nonlcon,options,P1,P2, ...)
[x,fval] = fmincon(...)
[x,fval,exitflag] = fmincon(...)
[x,fval,exitflag,output] = fmincon(...)
[x,fval,exitflag,output,lambda] = fmincon(...)
[x,fval,exitflag,output,lambda,grad] = fmincon(...)
[x,fval,exitflag,output,lambda,grad,hessian] = fmincon(...)
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Example: A polynomial function is given as

𝑓 𝑥 = −𝑥1 𝑥2 𝑥3

subject to the constraint

0 ≤ 𝑥1 + 2𝑥2 + 2𝑥3 ≤ 72.

Minimize the given function 𝑓 𝑥 ,

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Solution: This is a constrained optimization problem and we can use ‘fmincon’ matlab
function to solve this problem.
The constraint
0 ≤ 𝑥1 + 2𝑥2 + 2𝑥3 ≤ 72 →
can be written as
−𝑥1 − 2𝑥2 − 2𝑥3 ≤ 0
𝑥1 + 2𝑥2 + 2𝑥3 ≤ 72

which can be expressed using matrix inequality

𝑨𝒙 ≤ 𝒃

where
−1 − 2 − 2 𝑇
𝑨= 𝒙 = 𝑥1 𝑥2 𝑥3 𝒃 = 0 72 𝑇 .
1 2 2 7
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Example: A polynomial function is given as

𝑓 𝑥 = 𝑒 𝑥1 4𝑥12 + 2𝑥22 + 4𝑥1 𝑥2 + 2𝑥2 + 1

subject to the constraint

𝑥1 𝑥2 − 𝑥1 − 𝑥2 + 1.5 ≤ 0
−𝑥1 𝑥2 − 10 ≤ 0

Minimize the given function 𝑓 𝑥 , take the initial condition as

𝑥0 = [−1, −1]

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Solution:

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Example:

If lb and Ax=b constraints are given, and there are no other constraints, then
the syntax for fmincon use becomes as:

[xmin fmin] = fmincon('objfun',x0,A,b,[],[],lb)

Note: [xmin fmin] = fmincon(fun,x0,A,b,Aeq,beq,lb,ub,nonlcon)

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Example:

If ub and AeqX=beq constraints are given, and there are no other constraints,
then the syntax for fmincon use becomes as:

[xmin fmin] = fmincon('objfun',x0,[],[],Aeq, beq,[],ub)

Note: [xmin fmin] = fmincon(fun,x0,A,b,Aeq,beq,lb,ub,nonlcon)

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Example:

If If only nonlinear constraints are given:

[xmin fmin] fmincon('objfun',x0,[],[] ,[],[],[],[],'constraint')

and function file constraint.m must be provided.

The function call

[c,ceq]=constraint(x)
must return c(x) and ceq(x) for given input vector x.

Note: [xmin fmin] = fmincon(fun,x0,A,b,Aeq,beq,lb,ub,nonlcon)

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Summary:
The constraints have to passed to fmincon in the following order:

1. Linear inequality constraints

2. Linear equality constraints
3. Lower bounds
4. Upper bounds
5. Nonlinear constraints

If certain constraints are not required in the problem,

then their input argument should be replaced by the placeholder [] (empty

input).

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Example: Write the matlab expression for the minimization of the following function
with the given constraint using 'fmincon'

𝑓(𝑥, 𝑦) = 𝑥 4 − 𝑥 2 + 𝑦 2 − 2𝑥 + 𝑦

𝑥≥0 𝑦≤0

Solution:

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Solution: First we implement the matlab function as in
Objfun.m
function f=objfun(x)

f=x(1)^4-x(1)^2+x(2)^2-2*x(1)+x(2);

With constraint 𝑥 ≥ 0 𝑦 ≤ 0 fmincon is used as

x0=[value1;value2]
[x,fval]=fmincon('objfun',x0,[],[],[],[],[0;-Inf],[Inf;0])

Note: [xmin fmin] = fmincon(fun,x0,A,b,Aeq,beq,lb,ub,nonlcon)

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Example: Write the matlab expression for the minimization of the following function
with the given constraint using 'fmincon'

𝑓(𝑥, 𝑦) = 𝑥 4 − 𝑥 2 + 𝑦 2 − 2𝑥 + 𝑦

𝑥 + 𝑦 = 0, 𝑥 ≤ 1 and 𝑦 ≤ 10 (ub)

Solution:
[xmin,fmin]=fmincon('objfun',x0,[],[],[1,1],0,[],[1;10])

Note: [xmin fmin] = fmincon(fun,x0,A,b,Aeq,beq,lb,ub,nonlcon)

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Example: Write the matlab expression for the minimization of the following function
with the given constraint using 'fmincon'

𝑓(𝑥, 𝑦) = 𝑥 4 − 𝑥 2 + 𝑦 2 − 2𝑥 + 𝑦

𝑥 + 𝑦 ≤ 0, 𝑥2 + 𝑦2 ≤ 1
Solution:
[xmin,fmin]= fminco n('objfun',x0,[1,1],0,[],[],[],[],'constraint')

constriant.m
function [c,ceq]=constraint(x)
c=x(1)^2+x(2)^2-1;
ceq=[];

Note: [xmin fmin] = fmincon(fun,x0,A,b,Aeq,beq,lb,ub,nonlcon)

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Example: Write the matlab expression for the minimization of the following function
with the given constraint using 'fmincon'
𝑓(𝑥, 𝑦) = 𝑥 4 − 𝑥 2 + 𝑦 2 − 2𝑥 + 𝑦

𝑥 2 + 𝑦 2 ≤ 1, 𝑥2 − 𝑦2 ≥ 1

Solution: [xmin,fmin]= fmincon('objfun',x0,[],[],[],[],[],[],'constraint')

constriant.m
function [c,ceq]=constraint(x)
c1=x(1)^2+x(2)^2-1;
c2=1-x(1)^2+x(2)^2;
c=[c1;c2];
ceq=[];

Note: [xmin fmin] = fmincon(fun,x0,A,b,Aeq,beq,lb,ub,nonlcon) 22

Example: Write the matlab expression for the minimization of the following function
with the given constraint using 'fmincon'
𝑓(𝑥, 𝑦) = 𝑥 4 − 𝑥 2 + 𝑦 2 − 2𝑥 + 𝑦

𝑥 2 + 𝑦 2 = 1, 𝑥2 − 𝑦2 ≥ 1

Solution: [xmin,fmin]= fmincon('objfun',x0,[],[],[],[],[],[],'constraint')

constriant.m
function [c,ceq]=constraint(x)
c=1-x(1)^2+x(2)^2;
ceq=x(1)^2+x(2)^2-1 ;

Note: [xmin fmin] = fmincon(fun,x0,A,b,Aeq,beq,lb,ub,nonlcon) 23

Example:

Minimize the objective function

𝑓(𝑥, 𝑦, 𝑧) = 𝑥 3 + 𝑦 3 + 𝑧 3

subject to the constraint

𝑥 ≥ 0, 𝑧 ≤ 0, 𝑥 2 + 𝑦 2 + 𝑧 2 = 1, 𝑦 2 ≥ 2𝑧 2 .

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Solution:

function f=myfunc_1(x)
f=x(1)^3+x(2)^3+x(3)^3;

Constraint function file:

function [c,ceq]=myconstraint(x)
c=2*x(3)^2-x(2)^2;
ceq=x(1)^2+x(2)^2+x (3)^2-1;

>> x0=[0;1;2] ;
>> [xmin,fmin]=fmincon('myfunc_1',x0,[],[],[],[],[0;-Inf;-Inf],[Inf;Inf;0],‘myconstraint')

Note: [xmin fmin] = fmincon(fun,x0,A,b,Aeq,beq,lb,ub,nonlcon) 25

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