MATLAB: Optimization with many variables – lsqnonlin

Question

Hi, I have an optimization problem with a large amount of variables. could be 100-10,000. Assuming that I can produce a similar amount of function, and that I have good starting guess, How many variables can lsqnonlin handle?

Is there a better mathod to solve these type of problems?

thanks

Answer 1

There is no set limit on the number of variables you can use. People routinely use Optimization Toolbox to solve nonlinear problems with thousands of variables. With a good starting guess, you can expect lsqnonlin to work.

That said, there are techniques that can speed lsqnonlin, such as using a Jacobian pattern or analytic Jacobian, or even a Jacobian multiply function. See lsqnonlin options.

Alan Weiss

MATLAB mathematical toolbox documentation