how can we obtain the golobal minimum? in case nonconvex optimization using fmincon.

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Chantrea Lean 2015-6-18

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评论： Walter Roberson 2015-6-20

采纳的回答： Walter Roberson

in case our constraint functions are nonconvex how can we obtain the global minimun using fmincon?

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Answer 1

Walter Roberson 2015-6-19

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If you need a global minima, then fmincon() is usually the wrong routine to use. fmincon() is a local minimizer. There are certain kinds of functions for which it will find the global minimum within the constraints, but not generally. If there is any location inside the constrained area where the partial derivatives are all nearly 0 then fmincon() may find that location even if the global minimum seems "obvious".

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Chantrea Lean 2015-6-20

thank you very much for your reply.So is there other methods to find the global minimum then?

Walter Roberson 2015-6-20

http://www.mathworks.com/products/global-optimization/

There is no known algorithm that is guaranteed to find the global minimum of an arbitrary function. There are some functions that can be analyzed to find a global minimum, but many cannot.

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