Originally posted by: SystemAdmin

[apr_159 said:]

Hello, I am solving non-linear programming using cplex. Basically, I want to emulate the matlab function

fmincon

which uses the active set method to solve non-linear equations. However, the results from cplex and fmincon are different. I know that matlab solution is correct and cplex is not.

How can I define the mathematical model to emulate the fmincon matlab function.
#DecisionOptimization
#MathematicalProgramming-General

Originally posted by: SystemAdmin

[jfk said:]

Hello,
well, I suppose it is not just any NLP in general what you want to solve. CPLEX can solve only Quadratic Programming/Quadraticallly Constrained Programming and SOCP directly. Otherwise, in my opinion, it is not the (a) model you have to find - I suppose you already have 1 - but you have to implement some NLP framework - for active set method - where at one point you approximate with LP/QP/QCP and solve that with CPLEX. Then repeat until you are satisfied with the solution. How fmincon is implemented you should consult with the matlab manual (actually I doubt they will tell you exactly what is the inner working of their algorithm) otherwise you are on your own to find an active set method and implement it.

good luck
cheers

#DecisionOptimization
#MathematicalProgramming-General