How to test optimality of a solution ?

Hi

Consider a constrained optimisation problem min f(x) (P) that can be solved with fmincon.

given a particular vector x. Is there a simple and inexpensive way to simply test the optimality of x (or quantify its sub optimality) with respect to problem (P).

Thank you

Answer 1

[Matt J]

The fourth output of FMINCON

[x,fval,exitflag,S] = fmincon(...)

is a structure S containing info about how the algorithm terminated. There is a field S.firstorderopt which tries to quantify how well the final point x satisfies the constrained first order optimality equations.