Parallel Optimization with multistart and fmincon

Hello,

I am running an optimization program with fmincon and multistart. I have 4 workers but I don't know which option is better.

1. Multistart in parallel always and fmincon with parallel always.
2. Multistart in parallel always and fmincon with parallel never.

Thanks in advance!

Answer 1

[Alan Weiss]

parfor has the limitation that inner parfor loops are not run in parallel, only the outermost parfor loop is run in parallel. The situation you ask about is documented in http://www.mathworks.com/help/toolbox/gads/bsc7xh9-1.html#bsc7x1l

The short answer is your option 1 is likely to be slightly faster, but in any case both options run pretty much the same, with just MultiStart running in parallel.

Alan

[KELVYN BARUC]

Thank you so much!! It's what I was looking for.

Answer 2

[Sargondjani]

just try?? this is likely to be very problem dependent...

Answer 3

[Paul Kerr-Delworth]

Hi Kelvyn,

There are some guidelines in the Optimization Toolbox documentation on parallel computing with the Optimization Toolboxes. See the following link for more information

http://www.mathworks.com/help/toolbox/optim/ug/briutum.html

Hope this helps!

Best regards,

Paul