Solve Constrained Nonlinear Optimization, Problem-Based

This example shows how to find the minimum of a nonlinear objective function with a nonlinear constraint by using the problem-based approach. For a video showing the solution to a similar problem, see Problem-Based Nonlinear Progamming.

To find the minimum value of a nonlinear objective function using the problem-based approach, first write the objective function as a file or anonymous function. The objective function for this example is

f(x,y)=ex(4x2+2y2+4xy+2y-1).

type objfunx
function f = objfunx(x,y)
f = exp(x).*(4*x.^2 + 2*y.^2 + 4*x.*y + 2*y - 1);
end

Create the optimization problem variables x and y.

x = optimvar('x');
y = optimvar('y');

Convert the objective function into an optimization expression by using fcn2optimexpr. Pass the x and y variables in the fcn2optimexpr call to indicate which optimization variable corresponds to each objfunx input.

obj = fcn2optimexpr(@objfunx,x,y);

Create an optimization problem with obj as the objective function.

prob = optimproblem('Objective',obj);

Create a nonlinear constraint that the solution lies in a tilted ellipse, specified as

xy2+(x+2)2+(y-2)222.

You do not need to create and convert the constraint as a separate function because it is a rational function of the optimization variables.

TiltEllipse = x.*y/2 + (x+2).^2 + (y-2).^2/2 <= 2;

Include the constraint in the problem.

prob.Constraints.constr = TiltEllipse;

Create a structure representing the initial point as x = –3, y = 3.

x0.x = -3;
x0.y = 3;

Review the problem.

show(prob)
  OptimizationProblem : 

	Solve for:
       x, y

	minimize :
       objfunx(x, y)


	subject to constr:
       ((((x .* y) ./ 2) + (x + 2).^2) + ((y - 2).^2 ./ 2)) <= 2
     

Solve the problem.

[sol,fval] = solve(prob,x0)
Solving problem using fmincon.

Local minimum found that satisfies the constraints.

Optimization completed because the objective function is non-decreasing in 
feasible directions, to within the value of the optimality tolerance,
and constraints are satisfied to within the value of the constraint tolerance.
sol = struct with fields:
    x: -5.2813
    y: 4.6815

fval = 0.3299

Try a different start point.

x0.x = -1;
x0.y = 1;
[sol2,fval2] = solve(prob,x0)
Solving problem using fmincon.

Local minimum found that satisfies the constraints.

Optimization completed because the objective function is non-decreasing in 
feasible directions, to within the value of the optimality tolerance,
and constraints are satisfied to within the value of the constraint tolerance.
sol2 = struct with fields:
    x: -0.8210
    y: 0.6696

fval2 = 0.7626

Plot the ellipse, the objective function contours, and the two solutions.

f = @objfunx;
g = @(x,y) x.*y/2+(x+2).^2+(y-2).^2/2-2;
rnge = [-5.5 -0.25 -0.25 7];
fimplicit(g,'k-')
axis(rnge);
hold on
fcontour(f,rnge,'LevelList',logspace(-1,1))
plot(sol.x,sol.y,'ro','LineWidth',2)
plot(sol2.x,sol2.y,'ko','LineWidth',2)
legend('Constraint','f Contours','Global Solution','Local Solution','Location','northeast');
hold off

The solutions are on the nonlinear constraint boundary. The countour plot shows that these are the only local minima. The plot also shows that there is a stationary point near [–2,3/2], and local maxima near [–2,0] and [–1,4].

See Also

Related Topics