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Can Octave solve this optimization problem?


From: Paul Smith
Subject: Can Octave solve this optimization problem?
Date: Mon, 7 Jan 2008 00:34:50 +0000

Dear All,

I am trying to solve the following maximization problem with Octave:

find x(t) (continuous) that maximizes the

integral of x(t) with t from 0 to 1,

subject to the constraints

dx/dt = u,

|u| <= 1,

x(0) = x(1) = 0.

The analytical solution can be obtained easily, but I am trying to
understand whether Octave is able to solve numerically problems like
this
one. I have tried to find an approximate solution through
discretization of the objective function but with no success so far.

Thanks in advance,

Paul


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