What exactly does TolCon do and how is relative max(constraint violation) calculated?

Dear all,

I have been googling my fingers off trying to find a complete description of how TolCon exactly influences an fmincon optimization. TolX and TolFun regard relative changes, relative to the previous step. So far so clear. But upon termination of fmincon, option.TolCon is compared to the relative max(constraint violation).

What does relative max(constraint violation) mean? How is it calculated? To what is it relative?

I'd be grateful for answers. I would not asking if had not been googling for a day.

Answer 1

[Alan Weiss]

Tolerances are described here. Relative can mean relative to the value at the initial point x0. There are a variety of stopping criteria that are not 100% consistent from solver to solver, or from algorithm to algorithm, so there is no universal definition. Sorry.

Most exit messages these days contain the information on what caused the solver to stop. These are the "enhanced" exit messages in fmincon, fminunc, lsqnonlin, lsqcurvefit, fsolve, and maybe a few more that I am forgetting right now.

Alan Weiss

MATLAB mathematical toolbox documentation

Answer 2

[genevois pierre]

hi, the link in "Tolerances are described here" is not set : could you arrange this ? Thank you.

[Alan Weiss]

Sorry, the documentation changed under us. I just updated the links.

Alan Weiss

MATLAB mathematical toolbox documentation

Answer 3

[ortegga]

You coded this with your ass