How to change the step size for fmincon?

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Nathan Batta 2020-9-29

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https://ww2.mathworks.cn/matlabcentral/answers/601954-how-to-change-the-step-size-for-fmincon

编辑： Mario Malic 2020-10-1

Hello! I am trying to use fmincon to optimize some weights for an MPC controller. The weights can vary from about 0 to 1000 but the weights only change by about 0.001 each iteration. I would like it to change by whole numbers. I have tried to adjust FiniteDifferenceStepSize and DiffMinChange but have had no luck yet. Does anyone have experience with this? Thank you!

Nathan

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Nathan Batta 2020-10-1

I did try RelLineSrchBnd and RelLineSrchBndDuration but had little luck. The best results I've found is by making the OptimalityTolerance and StepTolerance extremely small (1e-80). However, it is still only varying by about 30 when I want it to step by much more.

Mario Malic 2020-10-1

编辑：Mario Malic 2020-10-1

Well, fmincon searches locally. Plot your fval values, do they converge, if so, then local minimum is found. This could be a good problem for ga if your function evaluations are short.

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