Difference between fmincon 'TolFun' and 'FunctionTolerance'
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Hi all,
Recently I moved from Matlab R2015b to R2016b. One of the functions I use is fmincon. According to the help files for R2015b and R2016b, I conclude that the following options should be equivalent:
optimoptions(...
@fmincon,...
'Algorithm', 'interior-point',...
'Display', 'off',...
'TolFun', 1.0e-4,...
'StepTolerance', 1.0e-4,...
'ConstraintTolerance', 1.0e-2,...
'SpecifyObjectiveGradient', true,...
'SpecifyConstraintGradient', true,...
'HessianFcn', "MyHessian");
or:
optimoptions(...
@fmincon,...
'Algorithm', 'interior-point',...
'Display', 'off',...
'FunctionTolerance', 1.0e-4,...
'StepTolerance', 1.0e-4,...
'ConstraintTolerance', 1.0e-2,...
'SpecifyObjectiveGradient', true,...
'SpecifyConstraintGradient', true,...
'HessianFcn', "MyHessian");
However, when I simulate my program with 'FunctionTolerance' I obtain different results in comparison to 'TolFun'.
Can anyone explain why this is happening?
Kind regards, Laurent Keersmaekers
采纳的回答
Alan Weiss
2017-3-16
1 个投票
I think that you forgot to specify OptimalityTolerance = 1e-4. The former TolFun was split into two new tolerances. As you see in the Current and Legacy Option Name Tables, the old TolFun option had two meanings: change in function value, and size of first-order optimality measure. These meanings are now codified in FunctionTolerance and OptimalityTolerance. OK?
Alan Weiss
MATLAB mathematical toolbox documentation
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