MATLAB Answers

Inconsistent data in fmincon output structure

7 views (last 30 days)
I'm using FMINCON to solve a constrained optimization problem. When I examine the output structure generated by FMINCON, I get inconsistent results for the first-order optimality measure.
For example, when I look in output.message, I see
'Local minimum found that satisfies the constraints.
Optimization completed because the objective function is non-decreasing in
feasible directions, to within the default value of the optimality tolerance,
and constraints are satisfied to within the default value of the constraint tolerance.
Stopping criteria details:
Optimization completed: The relative first-order optimality measure, 9.417002e-07,
is less than options.OptimalityTolerance = 1.000000e-06, and the relative maximum constraint
violation, 1.110223e-16, is less than options.ConstraintTolerance = 1.000000e-06.
Optimization Metric Options
relative first-order optimality = 9.42e-07 OptimalityTolerance = 1e-06 (default)
relative max(constraint violation) = 1.11e-16 ConstraintTolerance = 1e-06 (default)'
This indicates a first-order optimality measure of 9.47e-07. However, if I look at output.firstorderopt, I see
>> out.firstorderopt
ans =
Does anyone have any idea what's going on? The code that generates this is a little complicated to summarise here, but I can upload it somewhere if someone would like to take a closer look.

Accepted Answer

Alan Weiss
Alan Weiss on 28 Aug 2018
The key word is "relative." The relative first-order optimality measure is (usually) the ratio of the final to the initial measure. So the initial first-order optimality measure was probably around 10.
Alan Weiss
MATLAB mathematical toolbox documentation
  1 Comment
Carlo Cabrera
Carlo Cabrera on 28 Aug 2018
That certainly explains things. My relative first-order optimality measure consistently differs from the actual one by a factor of 10 for identical initial starting values.
I was under the mistaken impression that the firstorderopt field was also a relative measure, since I had run fmincon on a simpler problem and found that the measure reported in the message field matched the one reported in the firstorderopt field.

Sign in to comment.

More Answers (0)

Community Treasure Hunt

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

Start Hunting!