Change initial step length in fmincon

Question

Romio 2022-5-20

0
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https://ww2.mathworks.cn/matlabcentral/answers/1723955-change-initial-step-length-in-fmincon

编辑： Matt J 2022-5-20

I am using fmincon to solve an optmization problem with the 'sqp' algorithm. I have set the variable 'StepTolerance' in options to 1e-13. However, when I use fmincon, the first step length is 1e+0. I am not sure why I can't control the stepsize. Is there any way to restrict the stepsize (including the very first one)?

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Answer 1

Matt J 2022-5-20

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https://ww2.mathworks.cn/matlabcentral/answers/1723955-change-initial-step-length-in-fmincon#answer_968415

编辑：Matt J 2022-5-20

You have some control over the step distance used for finite differencing operations (through FiniteDifferenceStepSize), and for the active-set algorithm, you can bound the size of the steps taken from

to

using RelLineSrchBnd and RelLineSrchBndDuration. However, there is no parameter that lets you dictate, in absolute terms, the size of the steps taken from

to

. Not all fmincon algorithms even have a stepping mechanism where such a thing would make sense.