Interior-point in fmincon without inequality constraints
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Dear all,
The MATLAB documentation recommends the interior-point algorithm for fmincon above the other three possibilities.
I wonder: is this still true if my problem has only equality constraints? Without inequality constraints there is no "interior" of anything...
Regards Andreas
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Steve Grikschat
2011-9-7
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You're correct, without inequalities, the interior point algorithm is a fairly straightforward algorithm. In the case where your problem only has equalities, the trust-region-reflective algorithm can be advantageous. Note, however, that you must provide analytical derivatives in order to use it.
The interior-point algorithm implementation has other features that add robustness: e.g. Hessian approximation options, ability to effectively use sparsity in the problem, ability to work with ultra-large problems via CG solves, etc. Therefore, it's usually worth trying as a first step.
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