How can I apply a filter using fminunc?

I have a function f(x) to minimize using fminunc, but I want to apply a filter to x after every iteration. This is a simple example, just to explain:

x=4;

func=@(x)myfunct(x)

options=optimoptions('fminunc','SpecifyObjectiveGradient',true,'Display','iter');

x0=2;

[best_x, fval, exitflag, output] = fminunc(func,x0,options)

% myfunction

function [OF,grad_OF]=myfunct(x)

OF=3*x^2+2*x;
grad_OF=6*x+2;

In this case the solver starts from x0, until it finds the minimum; I would that after every iteration, my x0 is x0=2*best_x (or x0=best_x - 2....) Now it is not important the specific relation, but how can I use and modify the best_x in every iteration, using it as the new starting point in fminunc solver.

Answer 1

[Matt J]

You can run fminunc in a loop with a single iteration in each pass (by setting MaxIter=1). Within the loop, you can also apply your filter.

options=optimoptions('fminunc','SpecifyObjectiveGradient',true,...
                      'Display','iter','MaxIter',1);
best_x=x0;

for i=1:N

   [best_x, fval, exitflag, output] = fminunc(func,best_x,options)

   best_x=myFilter(best_x);

end