FMINCON Message

[mohamad ali]

Hey,I was doing a minimization problem in which I was using FMINCON function to optimize my objective function.For a certain value of k the number of constraints would change and the number of variables would get bigger.

For k=1, the program is running and giving me good results.When k=2,3...and so on the program runs without any errors but with inaccurate results and am getting this message:

Warning: Matrix is close to singular or badly scaled.
Results may be inaccurate. RCOND = 1.222894e-016.
> In C:\Program Files\MATLAB\R2009b\toolbox\optim\optim\private\backsolveSys.p>backsolveSys at 11
In C:\Program Files\MATLAB\R2009b\toolbox\optim\optim\private\solveKKTsystem.p>solveKKTsystem at 9
In C:\Program Files\MATLAB\R2009b\toolbox\optim\optim\private\computeTrialStep.p>computeTrialStep at 60
In C:\Program Files\MATLAB\R2009b\toolbox\optim\optim\barrier.p>barrier at 326
In fmincon at 763
In test_2 at 225
This message repeats itself alot but the RCOND changes...

Also, am getting:

No feasible solution found.

fmincon stopped because the size of the current step is less than
the default value of the step size tolerance but constraints were not
satisfied to within the default value of the constraint tolerance.

Optimization stopped because the norm of the current step , 1.371838e-009,
is less than options.TolX = 1.000000e-010, but the maximum constraint
violation, 6.705445e-001, exceeds options.TolCon = 1.000000e-006.

Optimization Metric Options
norm(step) = 1.37e-009 TolX = 1e-010 (default)
max(constraint violation) = 6.71e-001 TolCon = 1e-006 (default)

I hope somebody would have some ideas about because it does not seem to be a technical error and am out of ideas.

Ali

[Alan Weiss]

On 6/23/2010 9:42 PM, mohamad ali wrote:
> No feasible solution found.
>
> fmincon stopped because the size of the current step is less than
> the default value of the step size tolerance but constraints were not
> satisfied to within the default value of the constraint tolerance.

Your problem might be very hard to solve. There are a few things to try.
1. Look at the suggestions in
http://www.mathworks.com/access/helpdesk/help/toolbox/optim/ug/br44iv5-1.html
There are quite a few suggestions, perhaps some will help.
2. Try setting the InitBarrierParam option to a large value, perhaps
1e10. This can help with feasibility.

Good luck,

Alan Weiss
MATLAB mathematical toolbox documentation

[mohamad ali]

Thanks Alan, your suggestion gave me some sort of good results.Anyways,I had a question.My fmincon is breaking when the size of the current step is less than the selected value of the step size tolerance.I did increase the InitBarrierParameter to 1e40 and as i mentioned the fmincon gave some OK results.Now what is happening is that when i set k=4 and above (k is parameter in my software for which some constraints would change) the fmincon is now minimizing below zero.How can i limit my fmincon to be strictly positive and let the fmincon breaks at the smallest positive value of Xs which consequently would get the smallest positive value of fval.

Any help is appreciated.

Ali.

[Alan Weiss]

If I understand what you are asking, you need to set a vector of lower
bounds of 0:
http://www.mathworks.com/access/helpdesk/help/toolbox/optim/ug/brhkghv-11.html#brhkghv-13

This will keep the components of your X vector positive, especially if
you use the interior-point algorithm
http://www.mathworks.com/access/helpdesk/help/toolbox/optim/ug/f12471.html#bsbwxm7

If your question was how do you keep the objective function positive,
well, you need to write a nonlinear constraint whose value is the
negative of the objective function.
http://www.mathworks.com/access/helpdesk/help/toolbox/optim/ug/brhkghv-11.html#brhkghv-16
But I'm not sure why anyone would do this.