Choice of step size

Hi,

How is the step size chosen in fmincon?

Thanks!

Best regards, Amanda

[Jan]

Which step size? Of the line search? Or the variation to determine the gradients? Please elaborate your question a little bit. Which problem do you want to solve?

[Amanda Olmin]

Yes, of the line search! I mostly want to know how the algorithm decides how big the step should be in parameter space; if x(k+1) = x(k) + alpha * p, where x is the parameter and p the search direction, what is the size of alpha and how is it determined?

Answer 1

[Alan Weiss]

All of the fmincon algorithms are documented.

Alan Weiss

MATLAB mathematical toolbox documentation