9/12/2023 0 Comments Fmincon nonlinear constraints![]() If not my variable names are probably wrong, I'd need you to run options=optimset('fmincon') and post the variable names inside options to set the tolerances. what you already are passing to fmincon but adding additional tolerances Options = optimset('fmincon','OptimalityTolerance', 1e-20, 'ConstraintTolerance', 1e-20) įmincon(., options) % i.e. % this may need to be instead started with the function name, depends on your MATLAB version Give this a shot: options = optimset('OptimalityTolerance', 1e-20, 'ConstraintTolerance', 1e-20) = 1e-06 (default) relative max(constraint violation) = 0.00e+00 ConstraintTolerance = 1e-06 (default) Relative first-order optimality = 9.82e-07 OptimalityTolerance Than options.ConstraintTolerance = 1.000000e-06. Optimization completed: The relative first-order optimality measure,ĩ.821943e-07, is less than options.OptimalityTolerance = 1.000000e-06, and the relative maximum constraint violation, 0.000000e+00, is less The optimality tolerance, and constraints are satisfied to within theĭefault value of the constraint tolerance. Non-decreasing in feasible directions, to within the default value of Optimization completed because the objective function is Local minimum found that satisfies the constraints. I tried the following: function = in_nonlconstr(w, S)Ĭ(1) = sqrt(w*S*w') - tgtVolAnn/sqrt(260) Ĭ(2) = - sqrt(w*S*w') + ( tgtVolAnn/sqrt(260) - 0.02/sqrt(260) ) īut after the optimization I keep getting that sqrt(w*S*w') satisfies c(1) but not c(2), despite an exitflag of 1 and the solver having converged.Īm I writing it correctly or is there smth wrong with my solver? I am trying to impose two nonlinear constraints with fmincon (interior-point) in Matlab: sqrt(w*S*w') = sigmaTgt/sqrt(260)-0.02/sqrt(260)
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