Optimizing minimization with fmincon function

Question

ektor 2019-5-25

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https://ww2.mathworks.cn/matlabcentral/answers/463996-optimizing-minimization-with-fmincon-function

评论： Sulaymon Eshkabilov 2019-5-26

采纳的回答： Sulaymon Eshkabilov

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Dear all,

I have this function which I minimize:

g=randn(1000,1);
u=randn(1000,1);
y=randn(1000,1);
options = optimoptions('fmincon','Display','off');
f = @(x) sum(   (      y-x(1)*g-u*x(2)         ).^2       );
 nonlcon = @unitdisk; 
 x = fmincon(f,[0.2 0.02],[],[],[],[],[],[],nonlcon,options);
 

where

function [c,ceq] = unitdisk(x)
c = - x(2) +0.01;
ceq = [];

Is there a faster way of doing this minimization?

Thanks in advance.

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Answer 1

Sulaymon Eshkabilov 2019-5-25

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https://ww2.mathworks.cn/matlabcentral/answers/463996-optimizing-minimization-with-fmincon-function#answer_376600

在 MATLAB Online 中打开

Hi,

By setting up the solver algorithm in the option settings, the simulation time cna be shortened substantially. E.g.

g=randn(1000,1);
u=randn(1000,1);
y=randn(1000,1);
options = optimoptions('fmincon','Display','off', 'Algorithm', 'active-set');
f = @(x) sum(   (      y-x(1)*g-u*x(2)         ).^2       );
 nonlcon = @unitdisk; 
 x = fmincon(f,[0.2 0.02],[],[],[],[],[],[],nonlcon,options);
 

This algorithm shortens the computation time by about 50%. If you are not satisfied with this, you can investigate furthermore with the option settings for fmincon.

Good luck.