
Re: fmincon + interior point algorithm + memory problems
Posted:
Dec 4, 2012 2:14 PM


On 12/4/2012 1:32 PM, Saad wrote: > 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
I don't know what your data files contain, and I don't understand how your loops change the optimization results, but I bet you can figure it out yourself. Try some of the suggestions in http://www.mathworks.com/help/optim/ug/whenthesolvermighthavesucceeded.html
Alan Weiss MATLAB mathematical toolbox documentation

