Solving a MINLP Optimization Problem

53 views (last 30 days)
I have a mixed integer nonlinear optimization problem containing "log" function, and by the way it's convex if we relaxed the integer variables.
Can I solve it using Matlab Optimization toolbox efficiently or there will be some issues?
Is there a difference in solving such optimization problems if I used problem-based and used solver-based approaches?

Accepted Answer

Alan Weiss
Alan Weiss on 10 Aug 2021
There are two MINLP solvers in Global Optimization Toolbox: ga and surrogateopt. Either should work for you. The surrogateopt solver is primarily for time-consuming functions. Both solvers work best on relatively low-dimensional problems, up to 100 variables or so, but there are no built-in limits, so you can try larger problems.
There is also an example showing how intlinprog can sometimes be used iteratively to solve otherwise convex mixed-integer problems: Mixed-Integer Quadratic Programming Portfolio Optimization: Problem-Based or the nearly identical Mixed-Integer Quadratic Programming Portfolio Optimization: Solver-Based.
Good luck,
Alan Weiss
MATLAB mathematical toolbox documentation

More Answers (0)

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by