Restart Fmincon Optimization from Checkpoint File

I am runing a time consuming simulation and due to some problem, sometimes the optimization with Fmincon is failing in the midlle of it. Hence, I wonder if there is a possiblity of having a checkpoint file (similar to surrogate optimization)?

Currently I am giving last point of previous run as intial guess of new run.

Answer 1

[Matt J]

No, unfortunately. Restarting from the last point is probably the best you can do. Although, apart from the interior-point algorithm, I'm pretty sure this is equivalent to using a checkpoint for all the other algorithms.