Constrained optimization-fmincon

GreekMartingale · March 18th, 2009, 7:17 pm

Helloam i the only one who finds Matlab's fmincon constrained optimization function terrible? For example a small change in the guess values and the results significantly change. I am solving a multistage ALM problem and i need a good constrained optimizer in Matlab environment. Does anybody have an idea how to get-find such an optimizer?thank you

msperlin · March 18th, 2009, 11:10 pm

QuoteOriginally posted by: GreekMartingaleHelloam i the only one who finds Matlab's fmincon constrained optimization function terrible? For example a small change in the guess values and the results significantly change. I am solving a multistage ALM problem and i need a good constrained optimizer in Matlab environment. Does anybody have an idea how to get-find such an optimizer?thank youWhat kind of constrain, bound or linear equality/inequality ?Can you describe a little more about the optimization problem?

GreekMartingale · March 18th, 2009, 11:15 pm

It is an expected utility optimization problem which is approximated by a Monte Carlo estimator, given linear constraints i.e. accounting identities. Fmincon is very sensitive to minor changes of the guess values in a way that results change dramatically.

msperlin · March 19th, 2009, 9:30 am

QuoteOriginally posted by: GreekMartingaleIt is an expected utility optimization problem which is approximated by a Monte Carlo estimator, given linear constraints i.e. accounting identities. Fmincon is very sensitive to minor changes of the guess values in a way that results change dramatically.Try this one

GreekMartingale · March 19th, 2009, 3:27 pm

Thank you very much