How to make fmincon faster?

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Sina 2014-6-14

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https://ww2.mathworks.cn/matlabcentral/answers/134329-how-to-make-fmincon-faster

评论： Sina 2014-6-16

I try to to use fmincon for my optimizer my system is nonlinear and my contraints are also nonlinear. As I want to use it in real system speed of it is very important. I already try different options of fmincon but doesn't change a lot. Is there anyway to make it faster except changing options that I already tried?

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Answer 1

Matt J 2014-6-14

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https://ww2.mathworks.cn/matlabcentral/answers/134329-how-to-make-fmincon-faster#answer_140869

You can code your objective and constraint functions better, i.e., make sure it executes as speed-efficiently as possible.

Supplying accurate computations of the gradient and Hessian for algorithms that use them would also probably speed things up. This is in contrast to turning GradObj and GradConstr 'off' and using the default finite difference derivative computations.

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Matt J 2014-6-15

It sounds like you're talking about the scenario discussed in this thread,

http://www.mathworks.com/matlabcentral/newsreader/view_thread/322222

If your objective function and constraints share some quantity that takes a long time to compute, you can use the technique discussed there to cut down on unnecessary re-computations of this quantity.

Sina 2014-6-16