MATLAB: Fmincon “matrix dimensions must agree” error

fminconMATLABoptimization

I'm not going to post the entire code, but it can be seen in this Github repo on the "optimization" branch. Run the GUI and click the "Optimize" button to get the error, or you can just read the "optimization.m" file. The exact error is below; I was hoping someone could tell me what is going on. It was working yesterday and I haven't changed much. Thank you.

Matrix dimensions must agree.
Error in finitedifferences
Error in computeFinDiffGradAndJac
Error in barrier
Error in fmincon (line 813)
    [X,FVAL,EXITFLAG,OUTPUT,LAMBDA,GRAD,HESSIAN] = barrier(funfcn,X,A,B,Aeq,Beq,l,u,confcn,options.HessFcn, ...
Error in optimization (line 39)
    b_min = fmincon(func, x0, A, c, Aeq, beq, lb, ub, nlc);

Best Answer

Figured out the reason. Apparently the number of nonlinear constraints in fmincon cannot change between iterations.

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It's a case sensitivity issue. Instead of 'LB' and 'UB', pass in 'lb' and 'ub'.

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I think that you mainly need to realize that optimization toolbox generally asks that you put all of your control variables into one input argument, typically called x. See Writing Scalar Objective Functions. Also, since you have other data or variables that the solver is not supposed to change, include these extra parameters using the techniques of Passing Extra Parameters.

I suggest that you break up your variables into the x = control variables (the five-dimensional x variable that you want fmincon to change) and the extra parameters, and rewrite your functions in terms of x and the others explicitly. Something like

function f = myfun(x,extra)
a = x(1);
b = x(2);
c = x(3);
d = x(4);
e = x(5);
% put the rest of your computations here

Your subsidiary functions, the ones that help compute the objective, can have any inputs and outputs that you like, but for consistency they should use the same x as well as any other variables as inputs.

f is necessarily a scalar output of myfun.

Your nonlinear constraint function similarly needs to be in the correct syntax, such as

function [c,ceq] = nonlcon(x,extra)
c(1) = fun2(x,extra);
c(2) = fun3(x,extra); % Note: no cell arrays here
ceq = [];

Call the functions properly, such as

fun = @(x)myfun(x,extra)
nlc = @(x)nonlcon(x,extra);
[solution,fval] = fmincon(fun,x0,A,b,Aeq,beq,lb,ub,nlc,options)

Good luck,

Alan Weiss

MATLAB mathematical toolbox documentation

Best Answer

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