How can I ensure that linear constraints are not violated in intermediate iterations when using optimization functions?

6 views (last 30 days)

How can I ensure that linear constraints are not violated in intermediate iterations when using optimization functions?
The documentation page here lists algorithms that guarantee that no bound constraints are violated in intermediate results:
https://www.mathworks.com/help/optim/ug/iterations-can-violate-constraints.html
Which solvers and algorithms are suitable for this?

Accepted Answer

MathWorks Support Team
MathWorks Support Team on 6 Nov 2024 at 0:00
Solvers from the Global Optimization Toolbox like patternsearch or surrogateopt can be better suited for these problems compared to gradient-based solvers like fmincon.
Gradient-based solvers can step out of the feasibility region to get a gradient or gradient estimate.
Furthermore, if the problem characteristics have a high discontinuity on the feasibility bounds, they might also have some simulation effects and "noisiness" the global optimization solvers are more robust against.
If you have to use solvers like fmincon, adapt the objective function to include an early feasibility check and return NaN or Inf if not feasible. These values are treated specially in most solvers and they attempt a different iterative step then.
See:

More Answers (0)

Tags

No tags entered yet.

Products


Release

R2023b

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!