I would like to obtain a feasible solution for an under-determined system of linear equations,
$$Ax=b$$
where, $A \in \mathbb{R}^{7\times9}, \, x \in \mathbb{R}^{9\times1}\text{and } b\in\mathbb{R}^{7\times1}$.
Clearly, there is no unique solution, but I would like to obtain a solution that satisfies some non-linear inequality conditions for a few components in $x$,
\begin{align} f_1(x_1,x_2,x_3) &\le c_1 \\ f_2(x_7,x_8,x_9) &\le c_2 \\ \end{align}
To be specific, the inequalities are $|x_1 + x_2 + x_3 - k| \le c_1$ and $|x_7 + x_8 + x_9 - k| \le c_2$ , i.e. the only non-linearity here is the abs()
function.
I am happy with any solution $x^*$ that satisfies the underdetermined system exactly whilst also satisfying the two constraints above.
I am currently using MATLAB as my programming environment, but pseudo-code/links to useful resources etc shall be more than enough to get started. An example MATLAB code for a dummy problem shall also be very helpful.
fmincon
to the normal equations? $\endgroup$fmincon
can certainly handle problems of the form $\min_x g(x) \;\; s.t \;\; f_1(x)\le c_1, \;\; f_2(x) \le c_2$. $\endgroup$0
denotes a zero vector. $\endgroup$