How to pass iteration number and f-count to fmincon

Hi,

I was wondering if there is any way to pass current number of iteration and number of function evaluations to my objective function using fmincon function. I need that to selectively update some internal parameter if the solver struggles with finding solution (e.g. if it calculates more than 1 finite difference for each parameter within a single iteration)

Cheers, Aleksander

Answer 1

[Alan Weiss]

If you make your objective function explicitly depend on a parameter vector v, then you can make a nested function where v gets updated by a custom output function. I have never tried to do this, but MATLAB is nothing if not flexible, you can generally do whatever you want.

Good luck,

Alan Weiss

MATLAB mathematical toolbox documentation

Answer 2

[Aleksander Marek]

Okay your solution was really useful, thanks a lot. Another thing I struggle now - since I usually use MultiStart environment for fmincon, if I do the same trick with nested functions now my information about iteration number/fval is 'global'. This obviously makes the process unparalleled so I lose a lot of computing power here. Any idea how could I make similar trick - passing function value from last iteration in particular - so that the optimization still can be run in parallel with multiple starting points? I assume brute force solution would be to run optimization function in parfor loop and bypassing MultiStart command. Any ideas?