Controlling X variable when using Fmincon

Hi,

I have a problem where I want to reference previous iterations of Fmincon to use in current function evaluations. For example, the function looks something like this in pseudocode:

[log_value] = function (params)

for i=1:1:num_days

temp_indicator_vector = indicator_vector{1,i};

for j=1:1:size(X) if indicator_vector(j) == 0 x(j) = x_old(j) end end

.... calculate log_value based on x

So, the question is how do I save the previous iteration of x as x_old so that I can use it in the current? I know I can write each iteration to the disk and read it back into Matlab, but I am hoping to do it in memory to keep the computation as fast as possible.

Any help would be appreciated,

Ed

Answer 1

[Fangjun Jiang]

After the iteration, just use x_old=x;

Do you know that you can assign a matrix to another matrix, as long as they are in the same size? Like this:

x_old=1:10;
x=rand(1,10);
x_old=x;

Two other things,

1. You have capital X and low case x. Don't mix them.
2. size(X) will return two values for scalar, vector or 2-D matrix. The statement "for j=1:1:size(X)" will use the first value returned by size(X) function. But it will be better if you specify it like size(X,1) or size(X,2) depending on your need.#

Answer 2

[Edward Umpfenbach]

Thanks for your answer.

I am aware of points 1 and 2. What I wrote above was just quick pseudocode.

I know I will have code like what you wrote above. I am still unsure of where to put it. If it was a script, x and x_old are in the workspace and I just update them on each iteration. I am using a function (Fmincon) to call another function (my custom written function).

If I modify the code for Fmincon so that it has

[X,FVAL,EXITFLAG,OUTPUT,LAMBDA,GRAD,HESSIAN, X_old] = fmincon(FUN,X,A,B,Aeq,Beq,LB,UB,NONLCON,options,varargin)

then it should return X and X_old, right? I just set X_old = X at line 1. Then X_old can be passed as a parameter to my written function?

Maybe I just need to try and see what happens. Just wanted to post first to see if anyone has advice since I generally don't mess with the functions distributed with Matlab.

[Fangjun Jiang]

That is correct!