DiffMinChange and DiffMaxChange are options that can be specified, for example, when running fmincon. According the MathWorks website, they stipulate the "Minimum [Maximum] change in variables for finite-difference gradients (a positive scalar)." However, I am not finding that these variables work in a predictable way.
- Are they measuring the magnitude of the gradient taken, or the change? - Which norm is being used? - How should these stipulations show up when I am running a simulation?
Currently, when I set, for example, DiffMaxChange = .1, I still see fmincon changing the variables of the objective function by more than this value, under any norm I can think of. Why is this happening?
Any and all information will be appreciated!
Thank you, Danny