MATLAB: Fmincon algorithm step by step

algorithmfmincon

Hello!

I'm using fmincon in my optimization problem. Do you have any idea what is the exact algorithm (step by step) used in avctive-set ? the support in the Mathworks site is not suitable for me.

Thx

Best Answer

In what way do you find the explanation of the various algorithms to be inadequate? There are also plenty of references in the bibliography for more details.

You are free to read the code for the active-set algorithm. Execute

 edit fmincon

and you can read through the code. When you come to a function that fmincon calls, highlight the name and press control-D to edit that function, too.

Alan Weiss

MATLAB mathematical toolbox documentation

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MATLAB: Matlab: Get the Hessian matrix using Multistart

MultiStart does not return the Hessian. But, if you really want the Hessian for computing confidence intervals, you shouldn't use the fmincon Hessian anyway, because, as documented, it is inaccurate.

I do not know what the confidence interval calculation is when there are active constraints in a maximum likelihood calculation. If, at the end of the calculation, there are no active constraints, then you can call fminunc on the function at the final point. As documented, fminunc Hessians are accurate.