Minimizing the Maximum Value of an Array

Hi All,

I am working on a optimization problem. I am trying minimize the highest value of the sum of two arrays P and X. P is a vector filled with data. X is the variables to be added to the elements of P and the elements of X can be positive or negative. I am using X to "shave the peaks and fill the valleys", but there is a set of specific boundaries and conditions to be met which prevents X from simply adding and subtracting off the average of P. I can't seem to find a way to solve this without using a max() function and because it is non-algebraic it causes many problems in the regular optimization algorithms. This is a problem with local/global minimum problems. Has anyone had experience with minimizing the peaks and extrema?

Answer 1

[Laurens Bakker]

This seems like a general constrained optimisation function. Since you have already formulated your objective function, you could just use fmincon(), from the Optimisation Toolbox. Take a look at http://www.mathworks.nl/help/toolbox/optim/ug/fmincon.html to see if it will fit your needs.