How to use patternsearch to optimize two control vectors of a function; optimizing both variables instead of passing one of them?

Dear Alan, I have an optimization problem where my function has two control variables as the following

 function [NetPV,finalSupply] = OptimizedRate (Weights,NRates)

Weights and NRates are vectors as: Weights = [x1 x2 x3] and NRates = [y1 y2 y3]

I want to optimized Weights and NRates not just passing one of them. I have seen some examples like: https://uk.mathworks.com/help/optim/ug/passing-extra-parameters.html

and tried them. However this pass NRates variable instead of optimizing it. [x,fval,exitflag,output] = patternsearch(@(Weights)OptimizedRate(Weights,NRates),x0,[],[],Aeq,beq,LB,UB,options);

I'm looking for away to optimize Weights and NRates variables jointly.

Thanks for your help!

Answer 1

[Sean de Wolski]

patternsearch(@(x)OptimizedRate(x(1),x(2)), [weight0 nRate0], ...

Index into one variable that is passed to the objective function.

[Yaser Khojah]

Thanks, I just applied it but the optimizer is taking forever to run. What about the linear constraints?

For example: Weight 1 + Weight 2 .... = Demand and nRate 1 + nRate 2 + .... = Demand

Thank you.

Answer 2

[Alan Weiss]

I think that the simplest way is to combine your variables into one vector, x = [Weights,NRates], which is what any optimization solver needs. See Compute Objective Function.

For example,

function [NetPV,finalSupply] = mynewfun(x)
Weights = x(1:3);
NRates = x(4:6);
[NetPV,finalSupply] = OptimizedRate(Weights,NRates);

Optimize mynewfun instead of OptimizedRate. Be sure to give your initial point x0 as a 6-element vector.

Alan Weiss

MATLAB mathematical toolbox documentation

[Yaser Khojah]

Thanks Alan,

Thanks, I just applied it but the optimizer is taking forever to run. What about the linear constraints?

For example: Weight 1 + Weight 2 .... = Demand and nRate 1 + nRate 2 + .... = Demand

Thank you.

[Alan Weiss]

The linear constraints should be written in terms of the 6-D variable x.

Alan Weiss

MATLAB mathematical toolbox documentation

[Yaser Khojah]

Thanks Alan, is there an example I can follow?