MATLAB: How to make fmincon faster

fminconoptimization

I try to to use fmincon for my optimizer my system is nonlinear and my contraints are also nonlinear. As I want to use it in real system speed of it is very important. I already try different options of fmincon but doesn't change a lot. Is there anyway to make it faster except changing options that I already tried?

Best Answer

You can code your objective and constraint functions better, i.e., make sure it executes as speed-efficiently as possible.
Supplying accurate computations of the gradient and Hessian for algorithms that use them would also probably speed things up. This is in contrast to turning GradObj and GradConstr 'off' and using the default finite difference derivative computations.
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