Re: add optimization function -> fmincon

[Olaf Till]

On Fri, Jan 20, 2012 at 08:11:53AM -0500, Ben Abbott wrote:
> On the IRC yesterday, it was suggested that ML's fmincon was sqp in disguise.

Which algorithm of fmincon? Does it call the objective function with
infeasible parameters _during_ optimization, as sqp does?

> ... opinion on the idea of wrapping an m-file around sqp to provide
> an fmincon.m that is compatible with Matlab's?

If a good generic optimization interface was designed, it could be
useful to wrap sqp. Is fmincon the interface we want? If not, it could
distract users focus from a possibly better interface. An issue which
occurs to me: the fmincon interface does not allow computation of
gradient without repeating the computation of the objective function
at the same time (as far as I remember); this might not be efficient
for all algorithms.

Olaf