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.
    It must be more preditable and robust than GA.