InfSolve
Purpose
Find a constrained minimax solution with the use of any suitable TOMLAB solver.
infSolve solves problems of the type:
where , , , and .
Calling Syntax
Result=infSolve(Prob,PriLev)
Inputs
Prob | Problem description structure. Should be created in the cls format. infSolve uses two special fields in Prob: | |
---|---|---|
SolverInf | Name of solver used to solve the transformed problem.
Valid choices are conSolve, nlpSolve, sTrustr and clsSolve. If TOMLAB /SOL is installed: minos, snopt, npopt. | |
InfType | 1 - constrained formulation (default).
2 - LS penalty approach (experimental). | |
The remaining fields of Prob should be defined as required by the selected subsolver. | ||
PriLev | Print level in infSolve.
=0 Silent except for error messages. >0 Print summary information about problem transformation. Calls PrintResult with specified PriLev. =2 Standard output from PrintResult (default). |
Outputs
Result | Structure with results from optimization. Output depends on the solver used.
The fields x_k, r_k, J_k, c_k, cJac, x_0, xState, cState, v_k are transformed back to match the original problem. g_k is calculated as J_kT · r_k. The output in Result.Prob is the result after infSolve transformed the problem, i.e. the altered Prob structure |
Description
The minimax problem is solved in infSolve by rewriting the problem as a general constrained optimization problem. One additional variable , stored as is added and the problem is rewritten as:
where .
To handle cases where an element in appears in absolute value: , expand the problem with extra residuals with the opposite sign:
Examples
minimaxDemo.m.
See Also
clsAssign.