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Topic: fmincon + interior point algorithm + memory problems
Replies: 9   Last Post: Dec 5, 2012 1:00 PM

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Alan Weiss

Posts: 1,208
Registered: 11/27/08
Re: fmincon + interior point algorithm + memory problems
Posted: Dec 4, 2012 2:14 PM
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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*x-w0)^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 memory-saving 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/when-the-solver-might-have-succeeded.html

Alan Weiss
MATLAB mathematical toolbox documentation



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