Is it possible in fmincon to limit the fval in the options?

Good morning,

is it possible to specify in the options of the fmincon, for example, that the fval may only take a maximum certain value? If it is possible, in what way does it change the iterary procedure of the fmincon to find a solution? Many thanks for your answers.

With kind regards

Answer 1

[Matt J]

No, but you can pose the bound on fval as a nonlinear constraint, and put it in your nonlcon function.

Nonlinear constraints can complicate the optimization considerably, however, so if possible you should try instead to find bounds or linear constraints on your x(i) that imply the desired bounds on fval.