MATLAB: How to write a self scaling function for fmincon

automaticallydecreasefmincongoalincreaseMATLAB and Simulink Student Suite

Hey,

I use fmincon and I want to maximize this function =

fun = @(x) -(x(1)*x(2)*x(3))

and now I do not want to change this function everytime I in- or decrease the size of my optimization.

For example:

If I am looking for 6 solutions my function should look like this =

fun = @(x) -(x(1)*x(2)*x(3)*x(4)*x(5)*x(6))

Is there a way to do it automatically ?

Thank you so much!

Best Answer

fun = @(x) -sum(log(x))

Related Solutions

MATLAB: Fmincon check Hessian (in DerivativeCheck)

I don't think you can, but an indirect way would be to run like below with MaxIter=1 and have fmincon return the Hessian with the 'Hessian' option turned both on and off. Then you can check the Hessian error manually.

I agree it is counter-intuitive, but I think it might be deliberate that the DerivativeCheck does not test the Hessian. Often, minimization algorithms will work with fairly crude approximations to the Hessian, so maybe it is expected that your user-supplied Hessian will not always be exact. Or, maybe it is with large dimensional problems in mind, where finite difference derived Hessians are too expensive to compute, even for testing purposes, but you still might want to use DerivativeCheck to verify the gradient.

Q=[2 1;1,2];
 Q=Q+Q.';
   opts=optimoptions(@fmincon,'DerivativeCheck','on',...
                              'GradObj','on','Hessian','off','MaxIter',1);
  [x,fval,exitflag,output,lambda,grad,H_off]=...
      fmincon(@(x)objfun(x,Q),[1,2],[],[],[],[],[-1,-1],[1,1],[],opts)
   opts=optimoptions(@fmincon,'DerivativeCheck','on',...
                              'GradObj','on','Hessian','on','MaxIter',1);
[x,fval,exitflag,output,lambda,grad,H_on]=...
    fmincon(@(x)objfun(x,Q),[1,2],[],[],[],[],[-1,-1],[1,1],[],opts)
HessianError=H_on-H_off
keyboard
function [f,g,H]=objfun(x,Q)
   x=x(:);
   f=x.'*Q*x/2;
   g=Q*x;
   H=eye(2);

MATLAB: Fixiing a component of input vector in fmincon

There are multiple options for this (one is to simply fix it within your objective function). The other is to use your equality constraint of the form Aeq*x=beq. Set:

Aeq = [0 0 1 0 0];
beq = 1;
[w,fval] = fmincon(fun,w0,[],[],Aeq,beq,lb,ub,[],options);

The actual constraints are allowed to be violated within a specified tolerance. See the options for fmincon if you would like to control the tolerance.

Best Answer

Related Solutions

MATLAB: Fmincon check Hessian (in DerivativeCheck)

MATLAB: Fixiing a component of input vector in fmincon

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