how can we obtain the golobal minimum? in case nonconvex optimization using fmincon.
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Chantrea Lean on 18 Jun 2015
Commented: Walter Roberson on 20 Jun 2015
in case our constraint functions are nonconvex how can we obtain the global minimun using fmincon?
Walter Roberson on 19 Jun 2015
If you need a global minima, then fmincon() is usually the wrong routine to use. fmincon() is a local minimizer. There are certain kinds of functions for which it will find the global minimum within the constraints, but not generally. If there is any location inside the constrained area where the partial derivatives are all nearly 0 then fmincon() may find that location even if the global minimum seems "obvious".
Walter Roberson on 20 Jun 2015
There is no known algorithm that is guaranteed to find the global minimum of an arbitrary function. There are some functions that can be analyzed to find a global minimum, but many cannot.
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