Linear Constraints as Function in Fmincon
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I want to find minimum of a function with constraints. My aim is to find Beta^b values.
Objective Function:
Constraints:
B^(a) in the constraint formula is given --> In the code it is written as betas_a
B^(b) in the formula is desired solution --> In the code it is written as betas_b
My Main function:
function [betas_b,fval,exitflag,output,lambda, CO_coeffs] = ConstrainedOptimization(series, betas_a, lag, Epsilon, p)
Calling fmincon in the function:
[betas_b,fval,exitflag,output,lambda] = fmincon(fun,x0,A,b,[],[],[],[],[],options);
My Objective Function:
function [f] = ObjectiveNormal (beta_b, matrix, vector)
f = sum((vector - matrix*beta_b).^2);
end
I think b in fmincon should be:
b = Epsilon / p;
and I want to define A as a function:
function [c, ceq] = ConstraintNormal(betas_b, betas_a)
c(:,1) = betas_a - betas_b;
c(:,2) = betas_b - betas_a;
end
How can I define my Linear inequality constraints as a function like nonlcon?
Best regards
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