MATLAB solution of Constrained Optimization Problems

Constrained minimization problems can be solved in MATLAB using fmincon functions.

One of the advantages of fmincon is the number of algorithms and options it allows the user to
implement. Further description can be found at:
https://www.mathworks.com/help/optim/ug/fmincon.html

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The following example shows how it works for a constrained Rosenbrock Valley Function.
𝑓𝑓 = 100(𝑥𝑥2 −𝑥𝑥1 2 )2 + (1 − 𝑥𝑥1 )2

3000

2000

1000

2
-2
1
-1

0 0

-1 1

x -2 2 x
1 2

1
This function has a global minimum at: � �
1
The search space is a half unit circle centered at the origin. The space is further constrained by:
𝑥𝑥1 + 2𝑥𝑥2 ≤ 1
The program is listed below.

SQP (Sequential Quadratic Programming) is chosen for the search algorithm.

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%Example on using fmincon for minimizing
% We use Rosenbrock function
% The function is subject to inequality constraint that limits the search
% to the area within a circle of radius 0.5

fun = @(x)100*(x(2)-x(1)^2)^2 + (1-x(1))^2;

options = optimoptions('fmincon','Display','iter-detailed','Algorithm','sqp');

%Linear constraint x(1)+2x(2)<=1

A = [1,2];
b = 1;

%No equality constraints

Aeq = [];
beq = [];

%Lower and upper bounds of the variables

lb = [-1.0,-1.0];
ub = [1.0,1.0];

%nonlinear constraint
nonlcon = @circlecon;

%Initial guess
x0 = [0,0];
x = fmincon(fun,x0,A,b,Aeq,beq,lb,ub,nonlcon,options)

function [c,ceq] = circlecon(x)

c = (x(1)-0)^2 + (x(2)-0)^2 - (1/2)^2;
ceq = [];

85
The results are:

Iter Func-count Fval Feasibility Step Length Norm of First-order

step optimality
0 3 1.000000e+00 0.000e+00 1.000e+00 0.000e+00 2.000e+00
1 10 9.097794e-01 0.000e+00 2.401e-01 2.401e-01 1.153e+01
2 13 2.683976e-01 7.121e-02 1.000e+00 3.651e-01 3.462e+00
3 27 2.747601e-01 3.924e-02 1.977e-02 3.026e-02 3.336e+00
4 30 2.955718e-01 1.613e-03 1.000e+00 4.016e-02 5.338e-01
5 33 2.966303e-01 5.153e-06 1.000e+00 2.270e-03 8.607e-02
6 36 2.966215e-01 7.645e-08 1.000e+00 2.765e-04 2.590e-03
7 39 2.966216e-01 3.458e-11 1.000e+00 5.877e-06 3.115e-07

Optimization completed: The relative first-order optimality measure, 3.114989e-07,

is less than options. OptimalityTolerance = 1.000000e-06, and the relative maximum constraint
violation, 3.458245e-11, is less than options. ConstraintTolerance = 1.000000e-06.

Optimization Metric Options

relative first-order optimality = 3.11e-07 OptimalityTolerance = 1e-06 (default)
relative max(constraint violation) = 3.46e-11 ConstraintTolerance = 1e-06 (default)

x=

0.4556 0.2059

86
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77
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53
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34.8749
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39.9136 64.8974
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59.86 42 7
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211098849494.....5555890124792363
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9 4 7 7 7 1 1
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755 8
341
-1
-1 -0.5 0 0.5 1
x1

87
Alternative Approach: Combining Unconstrained Search (fminsearch) with Penalty Functions

Alternatively, we can use fminsearch with penalty function to solve the same problem as follows.
Penalties are expressed using the bracket operators. The same penalty parameter, R, is used for both
constraints.

close all
clear all
%initial guess
x0=[0 0];

options=optimset('LargeScale','off','Display','iter-detailed');
[x, fval,exitflag,output]=fminsearch(@Rosenbrock_Constrained,x0,options)

Rosenbrock(x)

function P=Rosenbrock_Constrained(x)

R=1000;

%Original function
f=100*(x(2)-x(1)^2)^2+(1-x(1))^2;

%Constraints
g(1)=(x(1)-0)^2 + (x(2)-0)^2 - (1/2)^2;
g(2)=x(1)+2*x(2)-1;

if g(1)<=0
gg(1)=0;
else
gg(1)=R*g(1)^2;
end;

if g(2)<=0
gg(2)=0;
else
gg(2)=R*g(2)^2;
end;

P=f+gg(1)+gg(2);

function f=Rosenbrock(x)

f=100*(x(2)-x(1)^2)^2+(1-x(1))^2;

88
The table below shows the progression of solution as a function of the penalty parameter R, which is
used for both constraints.

R P F x1 x2 No. of
Function
Evaluations
1 0.2408 0.2202 0.5314 0.2799 105
10 0.2812 0.2678 0.4828 0.2314 95
100 0.2949 0.2931 0.4589 0.2088 94
1000 0.2964 0.2963 0.4560 0.2061 102

The table shows that the search approaches the minimum from outside the feasible range.

It is useful to remember that fmincon stopped at (0.4556, 0.2059)T using 39 function evaluations.

89
Use fmincon to solve Problems 7.31 and 7.34. Compare your earlier solutions with what you have done
earlier.
Use fmincon to solve the three-truss problem (Section 7.22.1), pp. 467. Compare your solution to the
results of this section. Please discuss your answer.

Note: in all these problems, use 'Display','iter-detailed' in optimoptions.

.

90