How can I use GlobalSearch with Parallelization?

Hello, I am trying the code below which uses 'parfor' and 'globalsearch' at the same time.

But I got an warning message saying 'The function RUN might make an invalid workspace access inside PARFOR loop'

I am not sure what this means. But when I run the code ignoring such message, something is running but I am a bit worried that this would give me wrong results.

So I was wondering whether this warning is something that I can just ignore or I should not use PARFOR and GLOBALSEARCH(especailly RUN) at the same time.

Thanks in advance.

parfor i_a = 1:Na                  %Loop over state variable a
    for i_d = 1:Nd                  %Loop over state variable d
        for i_y = 1:Ny                  %Loop over state variable y
            for i_t = 1:Nt                  %Loop over state variable y

                noadjamount = (1-delta)*D(i_d);
                if noadjamount < D(1)
                   noadjamount = D(1); 
                end
                
                problem1 = createOptimProblem('fmincon',...
                'objective',@(x)-adjvalue_model1(x,i_a,i_d,i_y,i_t,Utility,A,D,Y,T,R,delta,fixed,Interpol_1,Na,Nd),...
                'x0',[x0(i_a,i_d,i_y,i_t); x1(i_a,i_d,i_y,i_t)],'options',...
                optimoptions(@fmincon,'Algorithm','sqp','Display','off'));

                gs1 = GlobalSearch('Display','off');
                rng(14,'twister') % for reproducibility
                [adj_sol, adjval] = run(gs1,problem1);
               
                problem2 = createOptimProblem('fmincon',...
                'objective',@(x)-noadjvalue_model1(x,i_a,i_d,i_y,i_t,Utility,A,D,Y,T,R,delta,fixed,Interpol_1,Na,Nd),...
                'x0',x2(i_a,i_d,i_y,i_t),'options',...
                optimoptions(@fmincon,'Algorithm','sqp','Display','off'));
                
                gs2 = GlobalSearch('Display','off');
                rng(14,'twister') % for reproducibility
                [noadj_sol, noadjval] = run(gs2,problem2);
            
                [Vnew(i_a,i_d,i_y,i_t), ind] = max([-adjval, -noadjval],[],2);
                
                % Store values needed(Policy function, Value, Adjust or not)
                
                pol_ap(i_a,i_d,i_y,i_t) = (ind == 1).* adj_sol(1) + (ind == 2).*noadj_sol;
                pol_dp(i_a,i_d,i_y,i_t) = (ind == 1).* adj_sol(2) + (ind == 2).*noadjamount;
                indadj(i_a,i_d,i_y,i_t) = (ind == 1).*1;
                indnadj(i_a,i_d,i_y,i_t) = (ind == 2).*1; 

                x0(i_a,i_d,i_y,i_t) = adj_sol(1);
                x1(i_a,i_d,i_y,i_t) = adj_sol(2);
                x2(i_a,i_d,i_y,i_t) = noadj_sol;
            end
        end 
    end
end

Answer 1

[Alvaro]

Try moving that call of run to its own function.

https://stackoverflow.com/a/51898995