CODEWITHSUNDEEP
matlab
user3138073
user3138073

Reputation: 225

Unconstrained nonlinear optimization function

I want to optimize an unconstrained multivariable problem using fminunc function in MATLAB. Here is an example:

Minimize the function f(w)=x'Ax

Create a file myfun.m:

function f = myfun(x)

f = x'*A*x + b'x

Then call fminunc to find a minimum of myfun near x0:

[x,fval] = fminunc(@myfun,x0).

My problem is that in my algorithm, the matrix A and vector b in myfun.m are not fixed, but can be changed over loops, so I cannot type them by hand. How can I pass values to A and b?

Upvotes: 1

Views: 265

Answers (1)

chappjc
chappjc

Reputation: 30589

There are a few options for passing additional arguments to an objective function. For a simple one like yours, you could just make an anonymous function, which will save the values of A and b when it was created:

A = myMatA();
b = myVecb();
myfun = @(x) x.'*A*x + b.'*x;

[x,fval] = fminunc(myfun,x0);  % use no @ with an  anonymous function

The other two options are global variables (yuck!) and nested functions. A nested function version looks like this:

function [x,fval] =  myopt(A,B,x0) 
[x,fval] = fminunc(@myfunnested,x0);

    function y = myfunnested(x)
        y = x.'*A*x + b.'*x;
    end
end

But I think you would not use fminunc to solve minimization of x'Ax + b'x...

Upvotes: 1

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