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From: Frank on 2 Aug 2010 07:45
Dear all

I get different results using fmincon under Matlab 7.5 and 7.10. I use exactly the same options.

Any known issues?

Cheers,
Frank
From: Matt J on 2 Aug 2010 08:54
"Frank " <anyone(a)oleole.com> wrote in message <i36b45$7f3$1(a)fred.mathworks.com>...
> Dear all
>
> I get different results using fmincon under Matlab 7.5 and 7.10. I use exactly the same options.
>
> Any known issues?

numerical precision? Ill-conditioning?
From: Frank on 2 Aug 2010 09:05
"Matt J " <mattjacREMOVE(a)THISieee.spam> wrote in message <i36f5f$o4b$1(a)fred.mathworks.com>...
> "Frank " <anyone(a)oleole.com> wrote in message <i36b45$7f3$1(a)fred.mathworks.com>...
> > Dear all
> >
> > I get different results using fmincon under Matlab 7.5 and 7.10. I use exactly the same options.
> >
> > Any known issues?
>
> numerical precision? Ill-conditioning?


To me, the problem looks just fine. There are no NaN and no Inf or -Inf.

Setting in 7.5:
optimset('Display','notify','LargeScale','off','MaxFunEvals',99999999,'MaxIter',9999999);

Setting 7.10:
LargeScale off no longer necessary. Instead 'Algorithm','active-set'
Set 'TolX' and 'TolFun' to 1e-6 (which is the deafault and should not be necessary)

Any clues?
From: Frank on 2 Aug 2010 09:08
"Matt J " <mattjacREMOVE(a)THISieee.spam> wrote in message <i36f5f$o4b$1(a)fred.mathworks.com>...
> "Frank " <anyone(a)oleole.com> wrote in message <i36b45$7f3$1(a)fred.mathworks.com>...
> > Dear all
> >
> > I get different results using fmincon under Matlab 7.5 and 7.10. I use exactly the same options.
> >
> > Any known issues?
>
> numerical precision? Ill-conditioning?

nope, don't think so.

no "strange" options in optimset. only difference in optimset is:
LargeScale off no longer necessary in 7.10 but instead I have to set Algorithm to active-set.
From: Matt J on 2 Aug 2010 09:29
"Frank " <anyone(a)oleole.com> wrote in message <i36fvo$hm1$1(a)fred.mathworks.com>...

> > numerical precision? Ill-conditioning?
>
> nope, don't think so.
>
> no "strange" options in optimset. only difference in optimset is:
> LargeScale off no longer necessary in 7.10 but instead I have to set Algorithm to active-set.
===================

What I'm asking is, how big is the difference in the solutions? What makes you sure the difference is significant beyond numerical precision?

Also, what makes you certain the minimization problem is numerically stable? When a continuum of (approximate) minimizers exists -- like with the objective function f(x,y)= x^2 where any pair (0,y) is a solution -- small numerical precision differences in the iterative calculations can lead to a different solution along such a continuum.
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