MATLAB: Sparsity pattern of Jacobian for fmincon

fminconGlobal Optimization Toolboxjacobian

Hello

I am busy with a multiple shooting trajectory optimization problem. I would like to attempt this problem in fmincon using interior point as I've heard it is large scale (I have ~4000 variables).

I just wanted to find out if its possible if one can give fmincon the sparsity pattern of the constraint jacobian? I know some of the elements, but others I cannot differentiate analytically.

Thanks in advance!

Amir

Best Answer

The fmincon 'trust-region-reflective' algorithm accepts a HessPattern option, but requires you to give an analytic gradient function, so won't be suitable. The 'interior-point' algorithm has no such option, but you can set the Hessian option to 'lbfgs', which saves memory in the Hessian approximation.

And allow me to suggest that you might want to consult Optimizing a Simulation or ODE for suggestions on using optimization routines with an ODE solver. In particular, you might need to take larger-than-default finite difference steps.

Alan Weiss

MATLAB mathematical toolbox documentation

Related Solutions

MATLAB: Fmincon works but GA won’t work

In general, ga is not as reliable a solver as fmincon. So if you have smooth objective and constraints, you should use fmincon. See Table for Choosing a Solver.

Alan Weiss

MATLAB mathematical toolbox documentation

MATLAB: Set hessian function only once for fmincon

It seems to me that if you are changing the problem Hessian at each iteration then you will have to change the fmincon Hessian at each iteration. You can save time by simply updating the options instead of creating all-new options:

options = optimoptions('fmincon','Algorithm','interior-point','SpecifyConstraintGradient',true,'SpecifyObjectiveGradient',true);
for i=1:maxIter
    z = ones(Elements,1)*i;
    hess = @(x,lambda) analyticHessian(x,lambda,z);
    options.HessianFcn = hess;
    x = fmincon(costfun,x_0,[],[],[],[],[],[],@constraints,options);
end

Or you could use a nested function instead of an anonymous function for carrying the extra parameter. See Passing Extra Parameters.

Alan Weiss

MATLAB mathematical toolbox documentation

Best Answer

Related Solutions

MATLAB: Fmincon works but GA won’t work

MATLAB: Set hessian function only once for fmincon

Related Question