Solve minimax constraint problem
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Hi,
I would like to solve minmax problem. like below:
So first of all I try to use two fmincon but as it is slow I noticed Matlab offer fminmax function: http://www.mathworks.co.uk/help/optim/ug/fminimax.html
So I would like to ask is it possible to give the range to 'i' in fminmax function?
With best regards,
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Accepted Answer
Matt J
on 26 Jun 2014
Edited: Matt J
on 26 Jun 2014
So I would like to ask is it possible to give the range to 'i' in fminmax function?
You will need to discretely sample t in order for fminimax to be applicable. You also need to optimize over a region where the F_i are differentiable, so if p<=1 in your p-norms, you will also have to keep Px, Qx and Rx away from zero.
3 Comments
Matt J
on 26 Jun 2014
Edited: Matt J
on 26 Jun 2014
If U_t is really a discrete vector, then your problem isn't really a minimax in the standard sense. You can rewrite the problem as a continuous minimization problem in both w and u,
min_{w,u}(-J0(w,u))
So, it's really just a regular minimization problem in the concatenated space of vectors z=[w,u]
min_z -J0(z)
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