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Topic: fmincon: setting a limit for Line Search steplength
Replies: 5   Last Post: Jan 3, 2013 10:03 PM

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Alan Weiss

Posts: 1,267
Registered: 11/27/08
Re: fmincon: setting a limit for Line Search steplength
Posted: Jan 3, 2013 3:51 PM
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On 1/3/2013 3:31 PM, Allamarein wrote:
> Thanks for your kind reply.
> Perhaps I will try to use a genetic algorithm or a pattern search and, subsequently, fmincon.
> Probably also a multistart algorithm could be useful.
>
> About this aspect, what are 'DiffMinChange', 'DiffMaxChange' and 'RelLineSrchBnd' for?

Suit yourself, but you will likely find the genetic algorithm and
pattern search solvers far slower and less accurate than fmincon.

You can read about the meaning of the various options here:
http://www.mathworks.com/help/optim/ug/optimization-options-reference.html

In brief, DiffMinChange and DiffMaxChange are limits on finite
differencing steps for derivative estimation, and RelLineSearchBnd is a
bound on a line-search relative step length for the fmincon active-set
algorithm (a very obscure option indeed). For more information on
DiffMinChange and DiffMaxChang, see
http://www.mathworks.com/help/optim/ug/optimizing-a-simulation-or-ordinary-differential-equation.html#btfixqo
and the surrounding discusion.

Alan Weiss
MATLAB mathematical toolbox documentation



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