MATLAB: Why does fmincon stall indefinitely on a large problem

Optimization Toolbox

What are some potential causes for fmincon stalling indefinitey on a problem with thousands of constraints?

Best Answer

The default optimization algorithm, sqp is not tractable for very large problem sizes. There are two possible workarounds:
1. Change the algorithm from 'sqp' to 'interior-point' as follows:
>> opts = optimoptions(opts, 'Algorithm', 'interior-point')
2. Reduce the number of constraints/unknowns
The interior point algorithm is designed to work with very large problem sizes.
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