Static optimization using fmincon and quadprog
1 visualización (últimos 30 días)
Mostrar comentarios más antiguos
Raj Patel
el 17 de Nov. de 2020
Comentada: Raj Patel
el 17 de Nov. de 2020
Can anyone tell me which one os the optimization methods is faster between "fmincon" and "quadprog"? And why is it faster or slower?
Thanks in advance,
Raj Patel
0 comentarios
Respuesta aceptada
Ameer Hamza
el 17 de Nov. de 2020
Editada: Ameer Hamza
el 17 de Nov. de 2020
quadprog() is used for a very specific type of optimization problem and, therefore, can be optimized way more than fmincon(). However, note that there is no direct comparison since fmincon() can solve problems which quadprog() cannot. But for a similar problem, quadprog() will be faster. For example
H = [1 -1; -1 2];
f = [-2; -6];
A = [1 1; -1 2; 2 1];
b = [2; 2; 3];
opts1 = optimoptions('quadprog', 'Display', 'off');
opts2 = optimoptions('fmincon', 'Display', 'off');
t1 = timeit(@() quadprog(H, f, A, b, [], [], [], [], [], opts1))
t2 = timeit (@() fmincon(@(x) 1/2*x.'*H*x+f.'*x, rand(2,1), A, b, [], [], [], [], [], opts2))
Result
>> t1
t1 =
8.3352e-04
>> t2
t2 =
0.0081
>> t2/t1
ans =
9.6923
quadprog() is about 10 times faster. You can also check that both fmincon() and quadprog() give same solutions.
Más respuestas (0)
Ver también
Categorías
Más información sobre Solver Outputs and Iterative Display en Help Center y File Exchange.
Community Treasure Hunt
Find the treasures in MATLAB Central and discover how the community can help you!
Start Hunting!