How to check the FMINCON feasibility correctly

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Santiago Pulido Guerrero 2021-11-4

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评论： Santiago Pulido Guerrero 2021-11-5

Dear all,

I havee been working with the fmincon function and I have a question regarding the feasibility. First, when the display of the iteration is activated a table appears in the command window. One of its columns referes to the feasibility. Can someone please clarify what does that value mean? it alway oscillates from low to very large values. But I do not know if the large value is better or not. Since, I am also considering the flags and it never shows that the problem is infeasible even when whose values oscillate. I am minimizing a function with quadratic and linear constraints.

Thanks in advance for your help,

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Answer 1

Alan Weiss 2021-11-4

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If you look at the documentation for fmincon iterative display, you see:

Feasibility: Maximum constraint violation, where satisfied inequality constraints count as 0

Generally, a nonlinear inequality constraint function

is feasible at x if

. If a constraint value is positive, well, that means that the point is infeasible.

The "flags" apply only at the end of the optimization. After the optimization is finished, if the maximum constraint violation is low enough relative to the initial value, then the final point is declared feasible.

Does that help?

Alan Weiss

MATLAB mathematical toolbox documentation