加权最小二乘&加权最小最大优化
加权最小二乘&加权最小最大优化This is a wrapper function to solve optimization problems (using FMINCON) of the form:
min w.r.t. X of
CostFunc(X) = beta*(W_ls*F(X)) + (1 - beta)*(max(W_mm*F(X)))
subject to:
A*X <= B, Aeq*X = Beq (linear constraints)
C(X) <= 0, Ceq(X) = 0 (nonlinear constraints)
LB <= X <= UB (bounds)
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