Optimization problem gets stuck before going into solver

I have defined my constraints and objective function for my optimization problem and I have selected fmincon as the solver using the command

opt = optimoptions('fmincon', 'MaxIterations', 1000, 'Algorithm', 'sqp');

However, the command window does even show the classical message "Solving problem using fmincon" after 30 minutes. So I think that matlab gets stuck even before that. Meanwhile the system is under "busy" condition. Then, when I stop it manually I get the following error:

Operation terminated by user during optim.internal.problemdef.visitor.CompileNonlinearFunction/getArgumentName In optim.internal.problemdef.visitor.CompileReverseADReversePass/getParentJacArgumentName In optim.internal.problemdef.visitor.CompileReverseADReversePass/visitOperatorTimes In optim.internal.problemdef.Times/acceptVisitor In optim.internal.problemdef.visitor.CompileReverseADReversePass/visitBinaryExpressionImpl In optim.internal.problemdef.BinaryExpressionImpl/acceptVisitor In optim.internal.problemdef.visitor.CompileReverseADReversePass/visitTree In optim.internal.problemdef.visitor.CompileReverseADReversePass/visitForest In optim.internal.problemdef.ExpressionForest/compileReverseAD In optim.problemdef.OptimizationExpression/compileReverseAD In optim.internal.problemdef.compile.compileNonlinearExprOrConstrWithAD In optim.internal.problemdef.compile.compileNonlinearObjective In optim.problemdef.OptimizationProblem/compileObjectives In optim.internal.problemdef.ProblemImpl/prob2structImpl In optim.internal.problemdef.ProblemImpl/solveImpl In optim.problemdef.OptimizationProblem/solve In routingGame (line 92) sol = solve(sysProb,x_init,'options',opt);

Does anybody have any idea?

Thanks in advance!

[Torsten]

And setting

sol = solve(sysProb)

does not produce this behaviour ?

[Nima]

If this is happenning at the "define objective" step, I have exactly faced the same issue recently with the surrogate optimization. It takes quite a while until MATLAB gets to the "solve" step and I haven't found any solution for that yet.

Answer 1

[Alan Weiss]

It is apparent that solve is taking too long to calculate constraint derivatives using reverse-mode autodifferentiation. This might not happen in a new version of MATLAB, where internally there are smarter AD algorithms. However, you can lkely avoid this issue in all versions by turning off AD:

sol = solve(prob,ConstraintDerivative="finite-differences") % Maybe also ObjectiveDerivative="finite-differences"

Good luck,

Alan Weiss

MATLAB mathematical toolbox documentation