Answers to: Solving a nonlinear optimization problem with unknown decision variableshttp://www.or-exchange.com/questions/11557/solving-a-nonlinear-optimization-problem-with-unknown-decision-variables<p>Hello,</p>
<p>I need to solve a stochastic nonlinear optimization problem of this form: Find the decision variables Q1,..., Qn and Q_b (order quantities) such that the objective function (G(Q1,.,Qn and Q_b)) is minimized.Here Q1,...,Qn are same type of decision variables whereas Q_b is different.For this, I have considered a two variable case with Q1 and Q_b to find relation between the two.I have taken the relationship as constraint equations. I use fmincon in matlab to solve this problem. However, the last decision variable Q_b is always the same as the given upper bound.I think something is wrong for which the last variable is not optimized. Does matlab have any features to solve this type of problem? Or any other solver is there which can solve this kind of problem.</p>enThu, 05 Mar 2015 02:46:49 -0500Answer by pinkyhttp://www.or-exchange.com/questions/11557/solving-a-nonlinear-optimization-problem-with-unknown-decision-variables/11564<p>G is a profit function of Q1,...Qn and Q_b.I need to find the decision variable Q1,...,Qn and Q_b that maximizes the profit function.For example in a news-vendor problem, the news-boy has to decide how much to order, so that his expected profit will be maximized where demand is stochastic.However, in this problem Q1,...,Qn is one kind of variables and Q_b is of different type.I need to find Q1,...,Qn and Q_b which are unknown decision variables.</p>pinkyThu, 05 Mar 2015 02:46:49 -0500http://www.or-exchange.com/questions/11557/solving-a-nonlinear-optimization-problem-with-unknown-decision-variables/11564Comment by optimizer on pinky's questionhttp://www.or-exchange.com/questions/11557/solving-a-nonlinear-optimization-problem-with-unknown-decision-variables#11559<p>What is the function G? What are the first/second stage decision variables?</p>optimizerWed, 04 Mar 2015 11:48:05 -0500http://www.or-exchange.com/questions/11557/solving-a-nonlinear-optimization-problem-with-unknown-decision-variables#11559