Date: Mar 30, 2013 5:26 PM
Author: Saad
Subject: fminunc + transformation

Dear all,

I am replicating a paper who recommends using fminunc to do a "constrained" optimization through a transformation. I have tried to use directly fmincon (with different algorithms) but the function doesnt optimize, thats the reason I would like to follow the paper advice and use a transformation as follows:

C_bar=lamda*(exp(C)/1+ exp(C)) where lamda is a constant, C is the unconstrained variable and C_bar is the constrained variable. I would really appreciate if you could show me how I could use the transformation in matlab. Do I have to create a seperate function? How can I link it to the optimizer please?

Here is my code

C=[1; 1; 1 ; 1; 1; 1; 1; 1; 1];
options=optimset('Diagnostics','on','Display','iter','TolX',0.001,'TolFun',0.001,'LargeScale','off','HessUpdate','bfgs');
[beta,fval,exitflag,output,grad,hessian] =fminunc(@mll,C,options)

Thanks a lot for your help

Best Regards

S