Saad
Posts:
25
Registered:
11/26/12


Re: fmincon + interior point algorithm + memory problems
Posted:
Dec 4, 2012 1:32 PM


Alan_Weiss <aweiss@mathworks.com> wrote in message <k9kv0r$o2t$1@newscl01ah.mathworks.com>... > On 12/4/2012 8:35 AM, Saad wrote: > > Dear All, > > I keep receiving this error message when implementing an optimization > > with fmincon (interior point algorithm). I seems that it is a memory > > problem, any clue of how to fix this one please? > > > > ??? Error using ==> ldl > > Out of memory. Type HELP MEMORY for your options. > > > > Here is my code: > > > > beq = [ 1 const1 const2]' ; > > months={'Jan', 'Feb', ...,'Dec'}; > > for i=1997 > > > > for j=1:length(months) > > w0=xlsread(P:\excelfile.xls ,'Begin','S5:S5000'); > > a1=xlsread(['P:\excelfile.xls,'Begin','H5:H5000'); > > a2=xlsread(['P:\excel file.xls'],'Begin','Z5:Z5000'); > > a = [a1, a2]; > > n = size(a,1) ; Aeq = > > vertcat(ones(1,n),a') ; lb = zeros(n,1) ; H = > > eye(n) ; [w,fval, exitflag] = > > fmincon(@(x)norm(H*xw0)^2,w0,[],[],Aeq,beq,lb,[],[],options); > > end > > end > > > > Any guidance or advice is much appreciated. Regards > > > > Saad > > It is possible that you need to use a memorysaving Hessian. Try setting > the option Hessian to 'lbfgs'. See > http://www.mathworks.com/help/optim/ug/fmincon.html#f186882 > > Alan Weiss > MATLAB mathematical toolbox documentation
Hi Alan
Thanks a lot for your reply. I did try what you suggested: 'Hessian','lbfgs' with the fmincon and this time it works but when I check the optimized variables they all have the same value. Don't get me wrong I am not an expert in optimization, but it is weird to have the same value for the optimized variables? Shall I relax the tolerance? or do you think that it may be a problem inherent to my optimization function?
Thank you
With Regards
S

