optimization: have function return NaN but not at initial point
6 vues (au cours des 30 derniers jours)
I use fmincon interior-point algoritm to solve my optimization problem.
Based on Matlab's recommendation, I let my function return NaN if the objective function can not be evaluated for given parameters to indicate fmincon to try a different set of parameters. This works very well at intermediat iterations...
I got the following error:
"Errror using barrier. Objective function is undefined at initial point. Fmincon can not continue."
However, if I do not return NaN, fmincon, for whatever reasons, can solve the optimization problem even if the initial point is not correctly evaluated. Indeed, I observe this for many start vectors.
Anyway, is there a way to return NaN in my function always, except at the evaluation of the initial point? That is, figuring out (somehow) when my function is called with the initial point?
Matt J le 4 Mar 2023
Modifié(e) : Matt J le 4 Mar 2023
Setting the objective to NaN should not be seen as a substitute for constraints. If there is a region where your objective function cannot be evaluated, you still have to specify appropriate constraints so that the algorithm knows to avoid that region.