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Re: add optimization function -> fmincon
From: |
Olaf Till |
Subject: |
Re: add optimization function -> fmincon |
Date: |
Fri, 20 Jan 2012 15:46:29 +0100 |
User-agent: |
Mutt/1.5.20 (2009-06-14) |
On Fri, Jan 20, 2012 at 08:11:53AM -0500, Ben Abbott wrote:
> On the IRC yesterday, it was suggested that ML's fmincon was sqp in disguise.
Which algorithm of fmincon? Does it call the objective function with
infeasible parameters _during_ optimization, as sqp does?
> ... opinion on the idea of wrapping an m-file around sqp to provide
> an fmincon.m that is compatible with Matlab's?
If a good generic optimization interface was designed, it could be
useful to wrap sqp. Is fmincon the interface we want? If not, it could
distract users focus from a possibly better interface. An issue which
occurs to me: the fmincon interface does not allow computation of
gradient without repeating the computation of the objective function
at the same time (as far as I remember); this might not be efficient
for all algorithms.
Olaf