fmincon function not working well
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I have prepared a simulation model and done some parametric analysis using MATLAB. The results found are ok. Now I am trying to optimize the cycle using MATLAB fmincon function. I have applied all constraints and parameter ranges correct to my information but what I am getting is that the fmincon function runs just near by to the initial value of parameters. Please tell me the solution or the alteration to be made in fmincon function.
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Alan Weiss
2012-6-29
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fmincon is a gradient-based optimization function. It estimates gradients of your objective and constraints by finite differences. Frequently, simulations do not change much for very small changes in position, so give spurious estimated gradients of zero or some other incorrect value.
One thing you can try is to take larger finite difference steps. Set the FinDiffRelStep option to 1e-4 or something else above the default. For older versions of MATLAB, set the DiffMinChange option to 1e-3 or something, and maybe set the DiffMaxChange to 1 or something.
You can also set the FinDiffType option to 'central' in order to take central finite differences, which might be more accurate, though it is more time-consuming.
Also, if you want a global rather than a local minimum, try starting from a variety of points. If you have Global Optimization Toolbox, look at GlobalSearch or MultiStart.
Good luck,
Alan Weiss
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