MATLAB: How to optimize a non-smooth objective function using MathWorks products

continousdiscontinuousfminsearchMATLABnonsmoothoptimization

I want to minimize a function that is not smooth and whose derivatives are either not available or are not reliable.

Best Answer

The FMINSEARCH function in MATLAB does not rely on gradients to find minima, and may be used when the objective function is non-smooth. The Genetic Algorithm and Direct Search Toolbox can also be used to optimize non-smooth objective functions. Visit www.mathworks.com/products/gads for more information on the Genetic Algorithm and Direct Search Toolbox.