Date: Dec 5, 2012 5:02 AM Author: Saad Subject: Re: fmincon + interior point algorithm + memory problems Alan_Weiss <aweiss@mathworks.com> wrote in message <k9li2i$bjj$1@newscl01ah.mathworks.com>...

> 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

Thank you Alan. I will investigate the issue a bit more. Thanks again!

Regards

S