how can i bound rate of changes (dx/dt) in fmincon optimization?

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I need a inequality constraint for (dx/dt<c) in my optimization with fmincon.
i tried many methods,but didnt work.
is there anyone can help me?

Answers (2)

Walter Roberson
Walter Roberson on 4 Nov 2019
Use the non-linear constraint parameter and have it return (dx/dt - c) . Though if you want a strict inequality rather than <= c then you might need to be a bit careful with the boundary.
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Walter Roberson
Walter Roberson on 8 Nov 2019
Create a non-linear inequality that knows the derivative of the function. It is better not to try to estimate it.
fmincon naturally tries to find the zeros of the gradient of the function: when there are no constraints then the minima of a continuous function always satisfies the condition that the gradient is 0 (however, the gradient can also be all zero at maxima or at saddle points.) Therefore unless you have constraints, dx/dt<c will normally be satisfied for positive c.
If you do have constraints then fmincon is still going to be looking for a dx/dt that is as close to zero as feasible, under the constraints
It is therefore not obvious that testing the derivative will do a lot for you, unless c is negative

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Matt J
Matt J on 13 Nov 2019
Edited: Matt J on 13 Nov 2019

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