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Fmincon

Nonlinearily constrained multivariable optimization solver
(0 downloads for this version - 27710 downloads for all versions)
Details
Version
0.1.2
A more recent valid version exists: 1.0.7
Author
Michael Baudin
Owner Organization
DIGITEO
Maintainers
Allan CORNET
Michael BAUDIN
Category
License
Creation Date
November 23, 2010
Source created on
No source archive has been provided for this toolbox version.
Binaries available on
The maintainer of this module has not provided binaries.
Description
            Fmincon toolbox

Purpose
-------

The goal of this toolbox is to provide a fmincon function 
in Scilab.
The fmincon function is a nonlinearily constrained optimization
solver.
Currently, we use ipopt for the actual solver of fmincon.

The current state of the function is experimental.
Many features are yet to be implemented.

We provide upgraded versions of the optimset and 
optimget functions, which manage options which 
are required by fmincon.

The current implementation is able to manage 
the following use cases.
We use a L-BFGS formula in order to compute an approximate 
of the Hessian of the Lagrangian.

(0) The initial guess is provided in the x0 input argument.

(1) The nonlinear objective function and 
the nonlinear constraints are provided.
The fun and nonlcon function can be customized to 
configure the nonlinear objective function and nonlinear constraints.
In this case, we use order two finite differences with optimal 
step size in order to compute the gradient of the objective 
function and the gradient of the constraints.

(2) The parameters are subject to bounds.
The lb and ub parameters can be configure to set 
bounds on the parameters.

(3) The objective function and constraints function can 
provide the exact gradients as additionnal output arguments
of their function definition.
The two "GradObj" and "GradConstr" options can be turned 
"on" for that purpose.

Features
--------

 * fmincon : Solves a nonlinearily constrained optimization problem.

Acknowledments
--------------

We thank Vincent Couvert for his feedback on this module.

Changelog
---------

fmincon (0.1-2) : Fixed bug in Demos/runtests.
            
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