Optimizing minimization with fmincon function

Dear all,

I have this function which I minimize:

g=randn(1000,1);
u=randn(1000,1);
y=randn(1000,1);
options = optimoptions('fmincon','Display','off');
f = @(x) sum(   (      y-x(1)*g-u*x(2)         ).^2       );
 nonlcon = @unitdisk; 
 x = fmincon(f,[0.2 0.02],[],[],[],[],[],[],nonlcon,options);

 

where

function [c,ceq] = unitdisk(x)
c = - x(2) +0.01;
ceq = [];

Is there a faster way of doing this minimization?

Thanks in advance.

Answer 1

[Sulaymon Eshkabilov]

Hi,

By setting up the solver algorithm in the option settings, the simulation time cna be shortened substantially. E.g.

g=randn(1000,1);
u=randn(1000,1);
y=randn(1000,1);
options = optimoptions('fmincon','Display','off', 'Algorithm', 'active-set');
f = @(x) sum(   (      y-x(1)*g-u*x(2)         ).^2       );
 nonlcon = @unitdisk; 
 x = fmincon(f,[0.2 0.02],[],[],[],[],[],[],nonlcon,options);
 

This algorithm shortens the computation time by about 50%. If you are not satisfied with this, you can investigate furthermore with the option settings for fmincon.

Good luck.

[ektor]

Indeed it is much faster now.

What should be the 'options' settings for the 'fminsearch'?

Could you give me an 'options' example for this function?

[Sulaymon Eshkabilov]

hi,

Again if you post your example, that would be good to answer specifically w.r.t your problem constraints.