how to maximize a function with linear constraints in matlab

To maximize a function with linear constraints in MATLAB, you can use the fmincon function which stands for constrained optimization using MATLAB.

Here is an example code which will demonstrate how to use fmincon function:

main.m
% define objective function
f = @(x) -x(1)*x(2)*x(3); % function to be maximized

% define constraint functions
A = [-1 -1 1; 1 -1 -1]; % matrix of linear constraints
b = [-1 2]'; % transformed right-hand side vector of linear constraints
nonlcon = []; % no nonlinear constraints

% set optimizer options
options = optimoptions('fmincon','Display','iter');

% initial guesses for variables
x0 = [1; 1; 1];

% call the fmincon function
[x, fval, exitflag, output] = fmincon(f,x0,A,b,[],[],[],[],nonlcon,options);

% print results
fprintf('The maximum value of the function is %f\n', -fval);
fprintf('The variables that maximize the function are x1=%f, x2=%f, and x3=%f\n', x(1), x(2), x(3));
691 chars
21 lines

In the above code, we first define the objective function we want to maximize. We then define the linear inequality constraints, in this case, given by the matrix A and vector b. We also define nonlcon to be empty since we have no nonlinear constraints.

We then set optimization options and initial guesses for the variables, and call the fmincon function with these arguments. The output of the function includes the maximum function value, the variables that maximize the function, and additional information about the optimization, such as the number of iterations taken.

Note that the - prefix in front of fval is used to maximize the function, rather than minimize.

gistlibby LogSnag