Can we choose step size rule in fmincon?

In fmincon (or other optimization algorithm), can we choose step size rule (e.g. fixed step size, diminishing, etc) or optimization algorithm has the default step size rule that cannot be changed?

Answer 1

[Walter Roberson]

https://www.mathworks.com/help/optim/ug/optimizing-a-simulation-or-ordinary-differential-equation.html#btfixqo shows some control for Finite Differences . However there is no control over the step size rule.

Answer 2

[John D'Errico]

If you could control the stepsize, then it would damage the convergence properties of a tool like fmincon. Sadly for you, this is something you cannot have, or if you could, you would not want it, IF you understood the cost.

I'd wonder if what you may want is essentially the ability to make some of the parameters discrete, thus taking on only certain levels. And that is better done in a tool like GA.

[Walter Roberson]

or perhaps use simulated annealing, which does permit you to control the quenching schedule.