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samaneh
01/08/13 02:41am

hi,
I have minimization objective function wich consists of two related function. please see attachement.
I write codes in Mathematica. however it dose not work well.I think the result of first function dose not use correctly in calculating second function.
could you please help me to modify it.

Clear[x, s1, s2]; Remove[c1, c2]
h1 = 0.5; b1 = 10; \[Mu] = 10; \[Sigma] = 5; l1 = 5; l2 = 5; h2 = 0.5;
\[Mu]1 = (l1 + 1)*\[Mu];
\[Sigma]1 = Sqrt[l1 + 1]*\[Sigma];
\[Mu]2 = (l2)*\[Mu];
\[Sigma]2 = Sqrt[l2]*\[Sigma];
c1 = Integrate[
h1*(s1 - x)*PDF[NormalDistribution[\[Mu]1, \[Sigma]1], x], {x, 0,
s1}] +
Integrate[(b1 + h1 + h2)*(x - s1)*
PDF[NormalDistribution[\[Mu]1, \[Sigma]1], x], {x, s1, Infinity}]
NMinimize[c1, s1];
w = NArgMin[c1, s1]
cost1 = NMinValue[c1, s1]
c2 = h2*(s2 - \[Mu]2) -
NIntegrate[
cost1*PDF[NormalDistribution[\[Mu]2, \[Sigma]2], u], {u, s2 - w,
Infinity}] +
h1*NIntegrate[(s2 - u - x)*
PDF[NormalDistribution[\[Mu]1, \[Sigma]1], x]*
PDF[NormalDistribution[\[Mu]3, \[Sigma]3], u], {x, 0, w} {u,
s2 - w, Infinity}] +
(b1 + h1 + h2)*
Integrate[(x - s2 - u)*
PDF[NormalDistribution[\[Mu]1, \[Sigma]1], x]*
PDF[NormalDistribution[\[Mu]2, \[Sigma]2], u], {x, w,
Infinity} {u, s2 - w, Infinity}]
cost2 = NMinimize[c2, s2]



Attachment: question.pdf, URL: ,

Subject (listing for 'convex optimization problem')
Author Date Posted
convex optimization problem samaneh 01/08/13 02:41am
Re: convex optimization problem Bill Simpson 01/09/13 2:11pm
Re: convex optimization problem Bill Simpson 01/09/13 2:25pm
Re: convex optimization problem Bill Simpson 01/09/13 2:35pm
Re: Re: convex optimization problem samaneh 01/10/13 07:13am
Re: Re: Re: convex optimization problem Bill Simpson 01/11/13 2:06pm
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