optimization: have function return NaN but not at initial point

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SA-W 2023-3-4

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评论： SA-W 2023-3-4

I use fmincon interior-point algoritm to solve my optimization problem.

Based on Matlab's recommendation, I let my function return NaN if the objective function can not be evaluated for given parameters to indicate fmincon to try a different set of parameters. This works very well at intermediat iterations...

I got the following error:

"Errror using barrier. Objective function is undefined at initial point. Fmincon can not continue."

However, if I do not return NaN, fmincon, for whatever reasons, can solve the optimization problem even if the initial point is not correctly evaluated. Indeed, I observe this for many start vectors.

Anyway, is there a way to return NaN in my function always, except at the evaluation of the initial point? That is, figuring out (somehow) when my function is called with the initial point?

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Answer 1

Matt J 2023-3-4

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编辑：Matt J 2023-3-4

Setting the objective to NaN should not be seen as a substitute for constraints. If there is a region where your objective function cannot be evaluated, you still have to specify appropriate constraints so that the algorithm knows to avoid that region.

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SA-W 2023-3-4

I am using MultiStart with a large array of customized start points.

If I get a higher percentage of successful runs by setting f=NaN, I am happy with that. My objective from an engineering perspective is to find the global minimum of my problem for a large family of start vectors. How, does not really matter to me.

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