[Octave-bug-tracker] [bug #35333] [octave forge] (optim) implement fmincon via a wrapper for sqp

[Olaf Till]

Follow-up Comment #4, bug #35333 (project octave):

Matlabs fmincon is rather an interface to different algorithms, which one can
choose from. There is an alternative to fmincon in the optim package, called
nonlin_min (one of its possible algorithms is just a wrapper to Octaves sqp).
I valued some details in the design of nonlin_min higher than making an
interface compatible to fmincon. If such compatibility is still required, I
thought, it can be achieved with a wrapper to nonlin_min.

If wrapping just sqp suffices depends on how much compatibility you want. No
choice between algorithms, of course. Returning lambda in a compatible way
won't work due to some ordering problem in sqp (fixable in sqp? Asma
interfaced Octaves __qp__ directly to work around this problem for
quadprogn).

What I wouldn't suggest is trying to make a fully fledged comprehensive
implementation of fmincon within Octave, 'competing' with optims nonlin_min.
But well...

If you think it's important I could try to complete Asmas nonlin_min wrapper,
thereby fixing necessary things in the backends. It'll take some time, since
currently I've only 3 days per week when I can spend a little time for Octave.
The other possibility (or a preliminary solution?) is to implement only a
basic fmincon in Octave, wrapping sqp (or __qp__, for lambda).

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