How to tune fmincon approximate gradient estimation in sqp algorithm

Greetings,

Using r2013b and the relevant Optimisation toolbox, I use fmincon with sqp algorithm.

Is it possible to know how the approximate gradient are computed ? Like which finite difference method is used and the associated FD step ?

Answer 1

[Alan Weiss]

See, for example, the descriptions of FiniteDifferenceStepSize and FiniteDifferenceType in fmincon options.

Alan Weiss

MATLAB mathematical toolbox documentation

P.S. Option names changed and so FiniteDifferenceStepSize is, for you, FinDiffRelStep, and FiniteDifferenceType, for you, is FinDiffType.