Problem with optimization using fminunc

Using fminunc for optimization matlab show me the message

 "Computing finite-difference Hessian using user-supplied objective function."

The options I use in fminunc are:

options=optimset('Display','notify','MaxIter',10^6,'MaxFunEvals',10^6,'TolX',10^-30,'TolFun',10^-30, 'GradObj','off','Hessian','off','LargeScale','off','LinesearchType','cubicpoly','InitialHessType','user-supplied','InitialHessMatrix',1,'HessUpdate','steepdesc')

The objective function is:

function val = custom_pdf(A,data);   
n=3; m=2; 
sigma=A(m+2);esi=exp(sigma); lamda=A(m+3);ela=exp(lamda);

dep=data(1:n,1); regs=data(1:n,2:m+2); beta=A(1:m+1)'; ee=dep-regs*beta; fact=ee./esi;

val=(2./esi).*(normpdf(fact)).*(normcdf(-ela.*fact));

What I must to do to solve this problem?

Answer 1

[John BG]

If you remove the 'LinesearchType' option, the error disappears, just a warning

options=optimset('Display','notify','MaxIter',10^6,'MaxFunEvals',10^6,'TolX',10^-30,'TolFun',10^-30, 'GradObj','off','Hessian','off','LargeScale','off','LinesearchType','cubicpoly','InitialHessType','user-supplied','InitialHessMatrix',1,'HessUpdate','steepdesc')
Error using optimset (line 209)
The LineSearchType option is no longer valid. It was only used by the
Gauss-Newton algorithm, which is no longer used in Optimization toolbox
solvers.

but you still have to define the variable 'data' to avoid further errors.

I tried random data values, but again, A and the function custom_pdf() are not defined either which makes any further answering difficult.

If you find this answer of any help solving your question,

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thanks in advance

John BG

<mailto:[e-mail] [e-mail]>

[Christos Papadimitriou]

I remove the 'LinesearchType' option but the problem still remains.

The data I use are random from standard normal, and the custom_pdf(A,data)=val=(2./esi).*(normpdf(fact)).*normcdf(-ela.*fact)) Is it possible the problem in optimization occurs because I have the version 7 of Matlab.

Answer 2

[Alan Weiss]

Your options make no sense to me. Remove all your options and I suspect that your problems will vanish.

Alan Weiss

MATLAB mathematical toolbox documentation

[Christos Papadimitriou]

I remove all the options except 'Display','notify'. The messages I receive are: 1. Warning: Gradient must be provided for trust-region method; using line-search method instead. 2. Maximum number of function evaluations exceeded; increase options.MaxFunEvals. So the problem remains. Is it possible the problem in optimization occurs because I have the version 7 of Matlab.

[Alan Weiss]

Yes, you have an old version of MATLAB, but you should still be able to use it to minimize. Take a look at the documentation sections about what to do when the solver fails and what to do when the solver might have succeeded or when the solver takes too long.

Good luck,

Alan Weiss

MATLAB mathematical toolbox documentation

[John BG]

Herr Weiss MATLAB does not get old, Christos just has an outdated version, he only needs to drive test R2016a