Preconditioning in fmincon

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Daniel Wells
Daniel Wells on 6 Jul 2011
I am trying to find the minimum of a nonlinear, multivariate function using fmincon in MATLAB. Currently, my set of options is
options = optimset('Algorithm', 'interior-point', 'Hessian',{'lbfgs', 5}, 'Display', 'iter','MaxIter', 75, 'MaxFunEvals', 12000, 'TolCon', 1e-10, 'TolFun', 1e-10);
I would like to precondition the Hessian matrix, but I can't figure out how to do so using the current command and options set. Any advice or direction on this matter would be great.

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