How to pass more parameters than the existing ones to output function of fmincon?

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Viswanath Hariharan 2018-7-16

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https://ww2.mathworks.cn/matlabcentral/answers/410615-how-to-pass-more-parameters-than-the-existing-ones-to-output-function-of-fmincon

评论： Matt J 2019-4-1

The above link is to the documentation of Output Functions, a function that is evaluated at each individual iteration of fmincon. The parameters passed to it by default are x, optimValues and state.

1. How to pass extra parameters to this function?

2. Is there any way to compute a partial stepsize? Say numel(x) = 60 and I want to calculate stepsize norm(x(1:10)-xk(1:10)), is it possible? Because optimValues.stepsize calculates norm(x-xk) which is taking into account the entire vector.

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Answer 1

Alan Weiss 2018-7-17

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https://ww2.mathworks.cn/matlabcentral/answers/410615-how-to-pass-more-parameters-than-the-existing-ones-to-output-function-of-fmincon#answer_329130

To pass external parameters, use the documented ways. You can also use persistent variables within an output function.

Alan Weiss

MATLAB mathematical toolbox documentation

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Viswanath Hariharan 2018-7-17

I'm thinking I'll persistent variables to compute partial step size within outputfunction. But I'm using this within parfor. Will this still work? If not, how do I do it?

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Answer 2

Matt J 2018-7-17

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此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/410615-how-to-pass-more-parameters-than-the-existing-ones-to-output-function-of-fmincon#answer_329202

编辑：Matt J 2018-7-17

在 MATLAB Online 中打开

Is there any way to compute a partial stepsize?

One way is to modify the example at the link you posted:

case 'iter'
         % Concatenate current point and objective function
         % value with history. x must be a row vector.
            history.x = [history.x; x(1:10)]; %only save 10 elements
            history.x(1:end-2,:)=[]; %only save the last 2 iterations
          if size(history,1)>1
           partial_stepsize=norm(  history.x(2,:) - history.x(1,:) ); 
          end

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Viswanath Hariharan 2018-7-18

在 MATLAB Online 中打开

The previous iteration's partial vector never got retained at the end of each call. According to my code below, tempx0 is what is retained as the first row of history.x . How do I fix this?

        epsilon = gamma*0.01*min(0.03,1/mag);
        history = struct;
        history.x = tempx0';
        %Function Definition and Solver
        fun = @(x)tempx0'*H*tempx0 + h'*tempx0 + const + (H(x_i,x_i)*tempx0(x_i) + h(x_i))'*(x(x_i) - tempx0(x_i));
        term_func = @(x,optimValues,state)inexact_gja_outfun(x,optimValues,state,epsilon,history,x_i)   
        options = optimoptions(@fmincon,'OutputFcn', term_func,'Algorithm','sqp','MaxIterations',1e6,'MaxFunctionEvaluations',1e6,'StepTolerance',1e-10);
        [x,fval,exitflag,output{j}] = fmincon(fun,tempx0,A,b,Aeq,beq,lb,ub,@(x)nonl_gja_constraints(x,j),options);

The above code is from where I call the outputfunction. The code below is the outputfunction.

    function stop = inexact_gja_outfun(x,optimValues,state, epsilon, history, x_i)
history.x = [history.x(x_i); x(x_i)'];
history.x(1:end-2,:)=[];
stop = false;
if size(history.x,1)>1 && optimValues.iteration > 0
    partial_stepsize=norm(  history.x(2,:) - history.x(1,:) );
    if partial_stepsize <= epsilon
        stop = true;
    end
end
end

Pri_Comet 2019-4-1

Viswanath, I fixed that by making 'history' a global variable.

Apparently, passing it to the output function that way you've done restricts its size. As a result, concatenate doesn't work as it can't add more rows -- row 1 stays at initial value and row 2 gets updated with current value.

Making it global removes this restriction. Hope this helps.

Matt J 2019-4-1

Making it global removes this restriction.

That sounds doubtful to me. There shouldn't be a difference in memory limitations between global variables and other variable types.

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