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KKT in Matlab

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Ariana Yunita

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Jul 17, 2009, 10:07:02 AM7/17/09
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I am a newbie in Matlab. I'd like to compute a non linear optimization function by its dual linear programming. I use lagrange multiplier theorem to change primal to dual, so i have non linear in primal and linear in dual.
Is there any function in matlab that fits to Karush Kuhn Tucker Condition? Or have I to make a condition manually? Thank you for you help

Thanks a lot.. Aryu

Matt

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Jul 17, 2009, 11:14:24 AM7/17/09
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"Ariana Yunita" <yu...@cs.its.ac.id> wrote in message <h3q0i6$3s4$1...@fred.mathworks.com>...

> I am a newbie in Matlab. I'd like to compute a non linear optimization function by its dual linear programming. I use lagrange multiplier theorem to change primal to dual, so i have non linear in primal and linear in dual.
> Is there any function in matlab that fits to Karush Kuhn Tucker Condition? Or have I to make a condition manually? Thank you for you help
>
> Thanks a lot.. Aryu

do you have the Optimization Toolbox? Try typing, for example,

help linprog
help fmincon

Ariana Yunita

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Jul 18, 2009, 7:19:01 PM7/18/09
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"Matt " <x...@whatever.com> wrote in message <h3q4gf$9ef$1...@fred.mathworks.com>...

Yes, i have optimization toolbox and i've done to optimize dual form. I'd like to optimize like in this link http://www.ziddu.com/download/5668206/linpro.pdf.
I have compute dual and i've got values of u, then how can i compute beta and epsilon? i confuse whether i can use fmincon to compute primal form.

Thx for ur help

Bruno Luong

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Jul 19, 2009, 2:43:01 AM7/19/09
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"Ariana Yunita" <yu...@cs.its.ac.id> wrote in message <h3tl95$i3s$1...@fred.mathworks.com>...

Actually you confuse me. If you primal is non-linear, the first step is to linearize it (because the dual is defined only on the linear model). If you are able to linearize your model, which mean you must know the primal variables. If you don't then something went very wrong.

Also there must be an iterative process wrapping around it. As far as I know there is no magic trick to transform non-linear to linear minimization.

Bruno

Ariana Yunita

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Jul 20, 2009, 10:46:01 AM7/20/09
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I use lagrange multiplier theorem to change nonlinear to linear transform. A main problem, please see in this link
http://www.ziddu.com/download/5694272/primal-dual.JPG.html It is too complicated, solve a primal problem in nonlinear. After I get a dual problem, and compute in dual, i am confused, how to compute primal. As I know, to compute primal problem by its dual, we use KKT condition. Correct me if I'm wrong..
Or is there any optimization toolbox to solve my problem? Thanks a lot..

"Bruno Luong" <b.l...@fogale.findmycountry> wrote in message <h3uf9l$6gt$1...@fred.mathworks.com>...

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