I am running an optimization program with fmincon and multistart. I have 4 workers but I don't know which option is better.
Thanks in advance!
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parfor has the limitation that inner parfor loops are not run in parallel, only the outermost parfor loop is run in parallel. The situation you ask about is documented in http://www.mathworks.com/help/toolbox/gads/bsc7xh9-1.html#bsc7x1l
The short answer is your option 1 is likely to be slightly faster, but in any case both options run pretty much the same, with just MultiStart running in parallel.
There are some guidelines in the Optimization Toolbox documentation on parallel computing with the Optimization Toolboxes. See the following link for more information
Hope this helps!