Can we choose step size rule in fmincon?

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Fangning Zheng
Fangning Zheng on 24 Jun 2022
Commented: Walter Roberson on 25 Jun 2022
In fmincon (or other optimization algorithm), can we choose step size rule (e.g. fixed step size, diminishing, etc) or optimization algorithm has the default step size rule that cannot be changed?

Answers (2)

Walter Roberson
Walter Roberson on 25 Jun 2022
https://www.mathworks.com/help/optim/ug/optimizing-a-simulation-or-ordinary-differential-equation.html#btfixqo shows some control for Finite Differences . However there is no control over the step size rule.

John D'Errico
John D'Errico on 25 Jun 2022
If you could control the stepsize, then it would damage the convergence properties of a tool like fmincon. Sadly for you, this is something you cannot have, or if you could, you would not want it, IF you understood the cost.
I'd wonder if what you may want is essentially the ability to make some of the parameters discrete, thus taking on only certain levels. And that is better done in a tool like GA.
  1 Comment
Walter Roberson
Walter Roberson on 25 Jun 2022
or perhaps use simulated annealing, which does permit you to control the quenching schedule.

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