Setting properly the step tolerence of fmincon

3 次查看（过去 30 天）
Alberto Belvedere
Alberto Belvedere 2020-12-17
编辑： Matt J 2020-12-19
I want fmincon to optimize my function using a step for my variables of 0.1. Setting step tolerance to 0.1 does not work.
According to fmincon description, step tolerance is a relative measurement and not an absolute one.
How can i make it work the way i want?
Example:
X=0.0 --> obj=5
X=0.1 --> obj=7
X_sol=0.0
I want the solver to skip all the values in between 0.0 and 0.1
PS Since the algorithm runs in a loop on a system with Ts=0.1 (almost smooth system since its dynamics are slower), i got situations in which i get X_sol_time_k=0.05 and X_sol_time_k+1=-0.05, which causes unwanted noise in the final solution.
So, not only solutions in between rounded intervals can cause the algorithm to make useless calculations, but also i get that unwanted noise
  2 个评论
Mario Malic
Mario Malic 2020-12-19
Can you evaluate your function from lower bound to upper bound with the step size of 0.1? If you have only one variable to optimize, then try it this way
x = lb:0.1:ub;
fval = zeros(length(x), 1)
for ii = 1 : length(x)
fval(ii) = objfun(x(ii)))
end
fmin = min(fval)
Alberto Belvedere
Alberto Belvedere 2020-12-19
Unfortunately, i have more than 10 variables and each one depends on the previous one...

请先登录，再进行评论。

请先登录，再回答此问题。

回答（1 个）

Matt J
Matt J 2020-12-19
编辑：Matt J 2020-12-19
There is no way to make fmincon restrict its search to a discrete set of values.
  2 个评论
Matt J
Matt J 2020-12-19
编辑：Matt J 2020-12-19
If you make a change of variables so that your the discrete space of feasible values are integers, then you can use an integer-constrained solver. If your problem is linear, then intlinprog() would be the thing to use. Otherwise, you would have to use ga().
That said, you should carefully consider whether you really need a discrete search. Discrete optimization is generally more difficult than continuous optimization.

请先登录，再进行评论。

类别

在 Help Center 和 File Exchange 中查找有关 Choose a Solver 的更多信息

标签

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by