I want to optimize a function
where pi are optimal variables and matrices of different sizes. (each pi_bar have the same size as corresponding pi)
I reshape all the pi to one single column so I could use the fminunc to solve the problem.
The problem is unconstraint but yi is updated using pi. It also involves some random initialization (using randn) at the beginning for some variables.
pi_bar and yi_bar are already known.
case 1: I run the optimization, it returns different values each time, which is understandable as there is random inialization in the algorithm
case 2: I fixed the random initialization, using rng for example. It returns an error "maximum number of function evaluations has been exceeded " even if I set the value to very high (500000).
It seems that the algorithm only finds a better point when there is better random initialization points. Is there a better way to cope with the random initialization in optimization problem? And what could be the reasons for the case 2?
Thanks a lot for any suggestion in advance!