Hello everyone, I have a question in optimization
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Please find the attached question
3 Comments
Bruno Luong
on 16 Nov 2020
Edited: Bruno Luong
on 16 Nov 2020
In this pdf: r_m c_m cannot be vectors since they are the bounds of the norms, which must be scalars.
Accepted Answer
Bruno Luong
on 16 Nov 2020
Edited: Bruno Luong
on 17 Nov 2020
The constraint (1c)
norm(R11∗*w+r00, Inf) >= rm
can be transformed as a union of 42 halfplanes
R11(i,:)*w+r00(i,:) >= rm
or
R11(i,:)*w+r00(i,:) <= -rm
for i=1,2,...21.
I would then suggest to solve 42 sub linear-programing problems by replacing the (1c) with one of those conditions. The sub problem can be solved with intlinprog, then we just take the argmin of those 42 problem solutions.
It must be more preditable and robust than GA.
12 Comments
Bruno Luong
on 23 Nov 2020
Does it really matter for accuracy? At the cost of 2 matrix-vector product per gradient evaluation instead of one?
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