Can Matlab Handle Optimization with Normal Distribution Constraints?

[hari]

hello ,i m quite new to Matlab and I am sorry if my question is too trivial but i couldn't find answers in help.Im trying to solve an optimisation problem .given the execution time for different tasks(sorting algorithms),i plotted the cumulative distribution functions.(y axis-cumulative probability Q ;x axis-execution time t)
I've managed to reduce my problem to this ;where NORMINV(Q,mu,sigma)=inverse of the normal cumulative distribution with mean 'mu',stddev 'sigma'
Is it possible to solve such a problem in Matlab?i just want to confirm or how i can make it mathlab compatible.

my problem is having derivatives in the constraints function.

maximize Q
s.t
n
Sum (NORMINV(Q,mu_i ,sigma_i ) * k_i ) <= K
i=0
where k_i,K ,n are known constants.
thank you

 

[mmwave]

Thank you for your question. It is definitely possible to solve this type of optimization problem in Matlab. The first step would be to define your objective function, which in this case is maximizing Q. Then, you can define your constraints using the known constants and the NORMINV function. Matlab has built-in functions for optimization such as fmincon and fminsearch that you can use to solve your problem.

As for the issue with derivatives in the constraints function, you can use numerical differentiation methods such as finite differences or central differences to approximate the derivatives and incorporate them into your optimization problem.

I hope this helps. Best of luck with your optimization problem!

 

[tacman]

for your time

Hello,

Yes, it is possible to solve optimization problems in Matlab. There are several built-in functions and tools specifically designed for optimization, such as fmincon, fminsearch, and linprog.

In your case, since your problem involves derivatives in the constraints function, you may need to use the fmincon function, which is used for constrained optimization problems. It allows you to specify the constraints and their derivatives as input arguments.

I would suggest looking into the documentation for fmincon and other optimization functions in Matlab to understand how to properly formulate and solve your problem. You can also reach out to the Matlab community for further assistance.

I hope this helps. Good luck with your optimization problem!