How to find global minima using fmincon function and non-linear constraint?

Hi,

I am using fmincon to optimise my parameters while using a non-linear constraint function. fmincon only provides a local minima but I am looking for a global minima.I checked the documentation on GlobalSearch and MultiStart, but none of them seem to support a non-linear constraint.

Is there any other alternative to these functions?

Any suggestions to search for a global minima using fmincon?

Thanks.

Answer 1

[Alan Weiss]

GlobalSearch and MultiStart use fmincon as the local solver, so they support whatever comstraints fmincon supports, meaning basically anything but integer or nonsmooth. There are plenty of ways to use fmincon to try to search for a global minimum, but NONE are guaranteed to find one in general. See the recent question https://www.mathworks.com/matlabcentral/answers/728568-how-to-know-if-a-minimum-found-with-global-search-is-actually-the-global-minimum?s_tid=srchtitle

Alan Weiss

MATLAB mathematical toolbox documentation

[Abinav]

It works indeed!

The feature was not mentioned as an option in the documentation nor was it mentioned in the example. So, I thought fmincon has limited functionality inside GlobalSearch.

Thanks!