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I'm facing a non-linear programming problem which currently I'm solving with fmincon function of MATLAB. However, I'm not very happy with computation times and solution convergence since it only converges when setting the algorithm option to 'active-set' and computation times depends heavily on the initial condition.

I'm wondering if there exist free good general non-linear programming solvers with MATLAB interface since I would like to check if they can solve it more efficiently than fmincon.

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    $\begingroup$ Welcome to SciComp.SE! To get useful answers, you should be as specific as possible about the problem you're actually trying to solve -- capabilities differ widely (and broad "shopping list" questions are discouraged on the SE network). $\endgroup$ – Christian Clason Sep 15 '17 at 16:18
  • $\begingroup$ Have you taken a look at not using MATLAB? Julia via JuMP and Optim are good candidates here. $\endgroup$ – Chris Rackauckas Sep 15 '17 at 16:43
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OPTI Toolbox (https://www.inverseproblem.co.nz/OPTI/) gives you access to a number of solvers, including IPOPT which often performs well. MATLAB binaries are only shipped for WIN64 though.

Are you supplying derivatives to fmincon?

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  • $\begingroup$ Than you!. I will take a look at that toolbox. $\endgroup$ – Julio Sep 15 '17 at 14:22
  • $\begingroup$ Yes, I'm supplying derivatives the non-linear constraints and the objective function (although the objective function is linear). However, I have a kinda weird situation where some of the derivatives I'm supplying are computed by finite-differencing because its analytical expression takes 7 sheets... $\endgroup$ – Julio Sep 15 '17 at 14:27

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