From the help page about Output Functions Output Functions you can extract this way to save iterates of the solver. Assume you want to minimize the function f(x1,x2) = 4*x1^2 + 2*x2^2, then:
- Define your problem by nesting functions into one main function:
function [x fval history] = myproblem(x0)
history = [];
options = optimset('OutputFcn', @myoutput);
[x fval] = fminsearch(@objfun, x0,options);
function stop = myoutput(x,optimvalues,state);
stop = false;
if isequal(state,'iter')
history = [history; x];
end
end
function z = objfun(x)
z = 4*x(1)^2+2*x(2)^2;
end
end
- Trigger the solver (with one starting value x0) and retrieve all iterates the solver has computed in the matrix history
x0 = [1,2];
[x,val,history] = myproblem(x0);
Inspect matrix history, each row is the k-th iterate. The same procedure works for fmincon.
