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Re: fmincon: setting a limit for Line Search steplength
Posted:
Jan 3, 2013 2:56 PM
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On 1/3/2013 1:45 PM, Allamarein wrote:
> Using fmincon, is it possible setting a limit for Line Search Steplength?
> After some iterations the steplength is about 1e-5 and the f(x) is constant during the following iterations.
> It seems the steplength is too small and the algorithm does not further explore the domain.
> In my opinion this is a local minimum. Setting a limit for the inferior steplength (let's say 1e-2), can it help to avoid this local minimum?
>
> Maybe I have to deal with options 'DiffMinChange' and 'DiffMaxChange'
> What is 'RelLineSrchBnd' for?
The documentation has some suggestions for finding global (as opposed to
local) minima:
http://www.mathworks.com/help/optim/ug/when-the-solver-succeeds.html#brhkghv-65
If you have a Global Optimization Toolbox license, there are ways to
automate the search. See
http://www.mathworks.com/help/gads/how-to-optimize-with-globalsearch-and-multistart.html
Alan Weiss
MATLAB mathematical toolbox documentation
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