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Re: fmincon tolfun tolx and tolcon question/clarification
Posted:
Jan 24, 2013 8:17 AM


On 1/23/2013 9:08 PM, Jesse Sipple wrote: > I've been using fmincon (interiorpoint, bounded, with no nonlinear > constraints, not specifying a gradient) for an optimization problem. > I've had great success with the method and spent much time reading the > literature before coming to the final decision to use this algorithm > to assist me in solving my optimization problem. > > I have setup the problem such that the objective function is > normalized by it's initial value so that it starts from 1 with a goal > of going to 0. My parameters that I am passing are unitless, and can > be thought of as a percent running from 2 (200%) to 0 (0%) and > starting at 1 (100%). > Recently, I have needed to push the optimization a bit since as I > modify my problem, I encounter parameters that are slightly less > sensitive than what I have been dealing with in the past. > Typically, the constraints on the problem I have set are delta(x) > (TolX) = 1e4 which ends up being one hundredth of a percent and > delta(f) (TolCon) = 1e8 (which is TolX^2). > > When I was reviewing the literature to see how to make both TolX and > TolCon tighter constraints, I ran into this graph: > http://www.mathworks.com/help/optim/ug/tolfuntolx.png > (found here: http://www.mathworks.com/help/optim/ug/settingoptions.html) > > This led me to believe that I have been specifying TolCon wrong all > along, what I wanted to specify was a tolerance to constrain the > change in the objective function. Looking further into the material > online, I found that TolCon was the "tolerance on the constraint > violation". > > So I thought I have been doing it wrong all along and removed > specifying TolCon and specified TolFun as 1e8 and the optimization > stopped even sooner than before, since the default for TolCon is 1e6. > > So my question is, why isn't TolFun seeming to be what it appears to > be in the graph > (http://www.mathworks.com/help/optim/ug/tolfuntolx.png), and what is > TolCon doing? I'm nowhere near the bounds of the problem when it > stops. And what specifically is the "constraint violation" that > TolCon is controlling? The optimization seems to be prematurely > stopping due to the TolCon constraint but I don't want to change the > value for that without knowing exactly what it's controlling. > > Thanks for your help!
Take a look at the documentation of tolerances: http://www.mathworks.com/help/optim/ug/settingoptions.html#brhv4_o1
Alan Weiss MATLAB mathematical toolbox documentation



