Injecting a trust region radius within fmincon

I understand that most algorithms in fmincon are trust-region methods. However, I would like to inject my own trust region updating procedure into fmincon as well. Specifically, if my trust region radius is smaller than the trust region radius used by fmincon for a certain iteration, I would like to overwrite fmincon's radius by my own.

Answer 1

[Alan Weiss]

You are free to edit the source code of the 'trust-region-reflective' or 'active-set' fmincon algorithms, though not the 'interior-point' or 'sqp' algorithms. If you edit the source, I suggest that you first copy it to a different file so that you don't overwrite your original MATLAB code.

Good luck,

Alan Weiss

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