12.07.2015 Views

What Is Optimization Toolbox?

What Is Optimization Toolbox?

What Is Optimization Toolbox?

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fminconstepsizefirstorderoptFinal step size taken(medium-scale algorithm only)Measure of first-order optimalityFor large-scale bound constrainedproblems, the first-orderoptimality is the infinity normof v.*g, wherev is defined as in“Box Constraints” on page 4-10,and g is the gradient.For large-scale problems with onlylinear equalities, the first-orderoptimality is the infinity normof the projected gradient (i.e.,the gradient projected onto thenullspace of Aeq).Hessianfmincon computes the output argument hessian as follows:• When using the medium-scale algorithm, the function computes aquasi-Newton approximation to the Hessian of the Lagrangian at x.• When using the large-scale algorithm, the function uses- options.Hessian, if you supply it, to compute the Hessian at x.- A finite-difference approximation to the Hessian at x, ifyousupplyonly the gradient. Note that because the large-scale algorithmdoes not take nonlinear constraints, the Hessian of the LagrangianisthesameastheHessianoftheobjectivefunction.Options<strong>Optimization</strong> options used by fmincon. Some options apply to allalgorithms, some are only relevant when you are using the large-scalealgorithm, and others are only relevant when you are using themedium-scale algorithm. You can use optimset to set or change8-42

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