How to test optimality of a solution ?
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Hi
Consider a constrained optimisation problem min f(x) (P) that can be solved with fmincon.
given a particular vector x. Is there a simple and inexpensive way to simply test the optimality of x (or quantify its sub optimality) with respect to problem (P).
Thank you
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Accepted Answer
Matt J
on 8 Mar 2014
Edited: Matt J
on 8 Mar 2014
The fourth output of FMINCON
[x,fval,exitflag,S] = fmincon(...)
is a structure S containing info about how the algorithm terminated. There is a field S.firstorderopt which tries to quantify how well the final point x satisfies the constrained first order optimality equations.
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