How to use ScaleProblem in fmincon together with sqp or interior-point?

In MATLAB Optimization Toolbox User guide r2017b it states that you can, when using fmincon solver and algorithms sqp or interior-point, set the option ScaleProblem to normalize all constraints and the objective function and the command to add to option is

for legacy (?):

use 'obj-and-constr' to cause the algorithm to normalize all constraints and the objective function. Disable by setting to the default 'none'

and for current (?)

use in simular way 'true' or 'false'

Is this correct? I have 2017b and I have to use the 'obj-and-constr' command when using fmincon.

There is very little information about ScaleProblem in the user guide, where can I find more information and some exaples when this method will make a great difference. And why can't it be used with active-set?

Answer 1

[Alan Weiss]

I am sorry, you found a documentation error. I will fix it soon.

Currently, if you set options using optimoptions (recommended) you can set ScaleProblem to true or false, or, instead, you can set ScaleProblem to 'obj-and-constr' (but it shows as true) or 'none' (but it shows as false). If, instead, you set options using optimset (not recommended), you must set ScaleProblem to 'obj-and-constr' or 'none'. See Current and Legacy Option Name Tables.

There are only two fmincon algorithms that support this option, as you noticed. I do not know exactly when this option would make a difference, but I suspect it might for a poorly scaled problem, where some components have much different scales than other components.

Alan Weiss

MATLAB mathematical toolbox documentation