Loop for local function:fmincon

Dear all,

I want to make a loop for the code below: every step, I want to update objective function in such a way that pr=p.

I would appreciate any thoughts and helps!

Dat

function [p,fval] = MC_NT(p0,opts)
if nargin < 2
    opts = optimoptions('fmincon','Algorithm','interior-point');
end
[p,fval] = fmincon(@Obj,p0,[],[],Aeq1,beq1,[],[],[],opts);

function f= Obj(p)
f = 0;
pr=0.25*ones(1,16);
for i = 1:16
    f = f + p(i)*log(p(i))-p(i)*log(pr(i));
end

Answer 1

[Matt J]

Here is the way I would code it. However, because your objective function is just the KL-divergence, it is trivial to see that the minimum occurs at p=pr. In particular, your loop should produce the same result at every iteration.

    function [p,fval] = MC_NT(p0,opts,N)

    if nargin < 2
        opts = optimoptions('fmincon','Algorithm','interior-point');
    end

    M=length(p0);
    p0=p0(:);
    pr=0.25*ones(M,1);

    p=nan(M,N);
    fval=nan(1,N);

   for i=1:N

     fun=@(p) sum(p.*log(p./pr));

     [p(:,i),fval(i)] = fmincon(fun,p0(:),[],[],Aeq1,beq1,[],[],[],opts);

     pr=p(:,i);

   end

[Dat Tran]

Thank you very much!