Ask an optimization problem (important) - 未名空间MITBBS历史存档

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Ask an optimization problem (important)

Ask an optimization problem (important)# Computation - 科学计算

l*e2007-05-29 07:05

1 楼

Hi, All:
I came up with an optimization problem min f(x)= 1/2 x' H x- abs(x) subject
to -c<=x<=c, and sum(x)=0. Here, H is a matrix, x is vector, c is bound.
It looks like quadratic programming. But not really.
I tried the "fmincon" in the optimzation toolbox of Matlab, but it can't
find a statisfactory solution. The problem is not convex ( I think), but
some optimization method should reach a good minima.
Anyone can help? Please! If anyone can solve this, it could be used in a
wonderful

l*n2007-05-29 07:05

2 楼

abs(x)? are u talking about norm(x)?

subject
bound.

【在 l***e 的大作中提到】

: Hi, All:
: I came up with an optimization problem min f(x)= 1/2 x' H x- abs(x) subject
: to -c<=x<=c, and sum(x)=0. Here, H is a matrix, x is vector, c is bound.
: It looks like quadratic programming. But not really.
: I tried the "fmincon" in the optimzation toolbox of Matlab, but it can't
: find a statisfactory solution. The problem is not convex ( I think), but
: some optimization method should reach a good minima.
: Anyone can help? Please! If anyone can solve this, it could be used in a
: wonderful

S*M2007-05-29 07:05

3 楼

introduce integer and disjunction, formulate it to an IP

subject
bound.

【在 l***e 的大作中提到】

l*e2007-05-29 07:05

4 楼

To be exact, the optimization problem min f(x)= 1/2 x' H x- sum(abs(x)). x
is vector, every component lies in [-c, c] and the sum of x is zero.

l*e2007-05-29 07:05

5 楼

How ? It seems easy for you expert. May I contact you for details?

【在 S*M 的大作中提到】

: introduce integer and disjunction, formulate it to an IP
:
: subject
: bound.