I want to solve an optimization problem in Matlab as follows:
"choose x to max f(x,y*) s.t. g(y*)<=0, where y*=argmax h(x,y) with y as variable."
Without constraint g(y*)<=0, it is a standard optimization problem and I know how to solve it in Matlab. If y*(x) can be solved explicitly, I can simply substitute it into the original problem. However, since the optimal y*(x) is hard to have an explicit equation to express, can anybody tell me how to include the sub-optimization problem y*=argmax h(x,y) into the original optimization problem?
Thanks a lot.