Use the unstable version and try a different optimimzer there.
Is there any example that shows how to do this?
in the unstable version (Dynare 4.5)
Examples are at github.com/DynareTeam/dynare/tree/master/tests/optimal_policy/OSR
You need to modify change the call to fmincon by a call to your optimizer. The call to fmincon already shows you which arguments you need to pass to the function to be optimized.
No, opt_algo=4 is csminwel. To see the cases, look into dynare_minimize_objective.m in the dynare/matlab/optimization folder
4, i.e. csminwel