计算科学 - 使用 Yalmip 进行优化 - 吾爱随笔录

我想在 Matlab 中解决以下优化问题

\begin{array}{ll} maximize & ‖ \sum_{l = 1}^{2} α_{l} \int_{τ_{m + l - 1}}^{α_{1} τ_{m} + α_{2} τ_{m + 1}} e^{J (h - s)} d s ‖ \\ subject to & α_{1} + α_{2} = 1 \\ α_{1}, α_{2} \geq 0 \end{array}

$\begin{array}{ll} \text{maximize} & \bigg\| \displaystyle\sum_{l=1}^{2}\alpha_l \int_{\tau_{m+l-1}}^{\alpha_1\tau_m+\alpha_2\tau_{m+1}}e^{J(h-s)} \mathrm{d}s \bigg\|\\ \text{subject to} & \alpha_1+\alpha_2=1\\ & \alpha_1, \alpha_2 \geq 0\end{array}$

是否可以在 Matlab 中使用 Yalmip 解决这个问题？（也许先解决积分）

感谢您的提示！

tau1 = 1; tau2 = 2; J = 3; h = 4; alpha = sdpvar(2,1); from = tau1; to = alpha(1)*tau1 + alpha(2)*tau2; Objective = 0; for i = 1:2 Objective = Objective + exp(J*h)*(-1)*[exp(to)-exp(from)]); end optimize([alpha >= 0, sum(alpha) == 1], abs(Objective))