multi-variable optimization in matlab?

Hi,

I need to minimize a function that involves two variables. The problem is that this function is not directly related to those two variables, which means i can't use the standard optimization functions like fminsearch. Many other variables are to be calculated first, which are actually functions of the first two variables, and then they're used to calculate the function. And I can't put the function and the two variables in one equation. So, what options do I have in matlab to solve this optimization problem?

Thanks

Answer 1

[Matt J]

Many other variables are to be calculated first, which are actually functions of the first two variables, and then they're used to calculate the function....And I can't put the function and the two variables in one equation.

None of the above are requirements of fminsearch or any other Matlab optimization routine. Go ahead and create a function with as many lines as you need. Pass this function to fminsearch, fminunc, or whatever...

[Matt J]

Here is an example from the Matlab documentation showing that the objective function can consist of multiple lines of code

https://www.mathworks.com/help/matlab/ref/fminsearch.html#bvadxhn-8

[Abdelrahman Taha]

That's really helpful, thank you.

[Matt J]

You're welcome. One final footnote, though. fminunc and fmincon assume that your objective function is differentiable. This does not mean it must be expressed in a single of code, but it means you must be sure, on analytical grounds, that the code represents a differentiable operation. fminsearch does not require this.

[Abdelrahman Taha]

Thanks for highlighting that. They're all linear equations, so both fmincon and fminsearch will be ok.