stop fmincon if encounter warning about rank

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JD 2014-2-6

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评论： Matt J 2014-2-8

Hi,

I'm running fmincon using the sqp algorithm to run a montecarlo.

Sometimes (a couple out of a hundred) it encounters a matrix close to singluar and gets caught.

Is there a way to stop the optimizer and move on to the next with an exitflag that will let me know it did so?

I tried interior point, but after 10000 maxiter it didn't get close to the minimum that sqp was finding, so seems like sqp is better for this problem if I can find a way to cancel the optimization and move on if it encounters the warning.

Thanks for any tips.

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Matt J 2014-2-6

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编辑：Matt J 2014-2-6

You can define your own stopping conditions using the OutputFcn option, see here

http://www.mathworks.com/help/matlab/math/output-functions.html#bsgpq6q-39

I don't think it offers a way to control the native exitflag output argument, but you can send the flag to a global variable, or use nested functions that share variables.