MATLAB: How to save the variables x and fval when using [x,fval] = fmincon() in a parfor

fminconparfor

I get the following error:

An UndefinedFunction error was thrown on the workers for 'x'. This might be because the file containing 'x' is not accessible on the workers. Use addAttachedFiles(pool, files) to specify the required files to be attached. See the documentation for 'parallel.Pool/addAttachedFiles' for more details.

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parfor K = ....
 [x{K}, fval{K}] = fmincon(.....)
end

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MATLAB: Fmincon() power grid

Yes, my advice would be "Don't do that."

fmincon is a local minimizer, not a global minimizer, so it will get stuck in the first local minima it happens to see. However, power grid calculations would be expected to have a number of local minima. fmincon() is likely to get stuck.

You will likely need a global minimization technique. Some of the global minimizing routines can call upon fmincon() to get a more precise answer as the last step. I can also suggest a modification to the code of patternsearch() that allows it to call fmincon() at steps between in order to accelerate convergence; this would be a more advanced technique.

MATLAB: How to call a function inside a parfor

1. phi does not know what yraw and Vinv are. To fix, do this:

function [obj grad] = phi(y, yraw, Vinv)  %Pass yraw and Vinv
    obj = (yraw-y)'*Vinv*(yraw-y);
    grad = -2*Vinv*(yraw-y);  
end

2. Your fmincon needs to pass on yraw and Vinv to your phi function. To fix, do this:

    [xrec,fval,exitflag,output,lambda,grad,hessian] = fmincon(@(x) phi(x, yraw, Vinv),yraw,Aineq,bineq,At(s).Aeq, b(s).beq,[],[],[],options);
  end

3. Your outputs for each parfor iteration aren't being saved correctly. To fix, do something like:

   [xrec{s}, fval{s}, ...]  %save each output to a cell array.

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MATLAB: Fmincon() power grid

MATLAB: How to call a function inside a parfor

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