MATLAB: Hello everyone, I have a question in optimization

optimization

Please find the attached question

Best Answer

The constraint (1c)

norm(R11∗*w+r00, Inf) >= rm

can be transformed as a union of 42 halfplanes

R11(i,:)*w+r00(i,:) >= rm

or

R11(i,:)*w+r00(i,:) <= -rm

for i=1,2,...21.

I would then suggest to solve 42 sub linear-programing problems by replacing the (1c) with one of those conditions. The sub problem can be solved with intlinprog, then we just take the argmin of those 42 problem solutions.

## Best Answer