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Thread Subject:
fmincon's problems in difference of 'sqp' and 'active-set'

Subject: fmincon's problems in difference of 'sqp' and 'active-set'

From: Ken Lai

Date: 12 Jan, 2010 01:19:03

Message: 1 of 3

The descriptions in help manual about both 'sqp' and 'active-set' alogrithms are almost the same except, it is noted that:
1. ''sqp' satisfies bounds at all iterations. It can recover from NaN or Inf results.'
2. ''active-set' can take large steps, which adds speed.'

I am wondering what is the difference between these two methods? Is active-set not able to recover from NaN or Inf results?

I cant find any referecne explaining why fmincon introduce 'sqp' as a new algorithm optinon, which is extremely unstable in my testing, e.g. in about 4 of 10 testing in my optimization problem MATLAB itself asks for shutting down . I am wondering if the motivation to introduce 'sqp' can help improve the performance by sutiable utilization.

Subject: fmincon's problems in difference of 'sqp' and 'active-set'

From: Elena

Date: 23 Mar, 2012 14:15:25

Message: 2 of 3

"Ken Lai" wrote in message <higim7$8oc$1@fred.mathworks.com>...
> The descriptions in help manual about both 'sqp' and 'active-set' alogrithms are almost the same except, it is noted that:
> 1. ''sqp' satisfies bounds at all iterations. It can recover from NaN or Inf results.'
> 2. ''active-set' can take large steps, which adds speed.'
>
> I am wondering what is the difference between these two methods? Is active-set not able to recover from NaN or Inf results?
>
> I cant find any referecne explaining why fmincon introduce 'sqp' as a new algorithm optinon, which is extremely unstable in my testing, e.g. in about 4 of 10 testing in my optimization problem MATLAB itself asks for shutting down . I am wondering if the motivation to introduce 'sqp' can help improve the performance by sutiable utilization.

Subject: fmincon's problems in difference of 'sqp' and 'active-set'

From: Elena

Date: 23 Mar, 2012 14:17:32

Message: 3 of 3

"Ken Lai" wrote in message <higim7$8oc$1@fred.mathworks.com>...
> The descriptions in help manual about both 'sqp' and 'active-set' alogrithms are almost the same except, it is noted that:
> 1. ''sqp' satisfies bounds at all iterations. It can recover from NaN or Inf results.'
> 2. ''active-set' can take large steps, which adds speed.'
>
> I am wondering what is the difference between these two methods? Is active-set not able to recover from NaN or Inf results?
>
> I cant find any referecne explaining why fmincon introduce 'sqp' as a new algorithm optinon, which is extremely unstable in my testing, e.g. in about 4 of 10 testing in my optimization problem MATLAB itself asks for shutting down . I am wondering if the motivation to introduce 'sqp' can help improve the performance by sutiable utilization.

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