how to speed up a nonlinear convex problem if solved using fmincon

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mohamed Faraj 2020-5-14

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https://ww2.mathworks.cn/matlabcentral/answers/525526-how-to-speed-up-a-nonlinear-convex-problem-if-solved-using-fmincon

评论： Piotr Balik 2023-4-5

I have a nonlinear convex problem with a large number of variables (100*n_samples+66). For example, if n_samples=50, I have 5066 variables. I have a set of linear constraints and a set of nonlinear constraints. The nonlinear constraints are convex and the objective function is a linear function that has 66 variables. To get a solution, the optimizer terminated because it reached the maximum number of function evaluations which I set at 90000 (it took 13 hours for the optimizer to stop). This is a smaple of the iteration when n_samples=1, i.e., we have 166 variables. Any idea how to speed up the optimizer (i have matlab 2013a ).

First-order Norm of

Iter F-count f(x) Feasibility optimality step

871 149095 5.800103e+03 1.776e-15 1.469e+00 5.745e-01

872 149269 5.798809e+03 1.776e-15 1.444e+00 5.761e-01

873 149443 5.797519e+03 1.776e-15 1.444e+00 5.774e-01

874 149617 5.796233e+03 1.849e-15 1.444e+00 5.785e-01

875 149791 5.794949e+03 4.441e-16 1.444e+00 5.793e-01

876 149965 5.793668e+03 4.031e-15 1.444e+00 5.799e-01

877 150139 5.792388e+03 3.553e-15 1.444e+00 5.802e-01

878 150311 5.789831e+03 1.776e-15 1.444e+00 1.161e+00

879 150483 5.787275e+03 6.314e-16 1.444e+00 1.160e+00

880 150655 5.782154e+03 1.776e-15 1.444e+00 2.315e+00