Date: Dec 4, 2012 1:32 PM
Author: Saad
Subject: Re: fmincon + interior point algorithm + memory problems

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