octave-optim 1.0.17-1 / usr / share / doc / octave-optim / optim-mini-howto-2.lyx

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Mini-HOWTO on using Octave for Unconstrained Nonlinear Optimization
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Author : Etienne Grossmann 
\family typewriter 
<etienne@isr.ist.utl.pt>
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 (soon replaced by 
\begin_inset Quotes eld
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Octave-Forge developers
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?).
 This document is free documentation; you can redistribute it and/or modify
 it under the terms of the GNU Free Documentation License as published by
 the Free Software Foundation.
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This is distributed in the hope that it will be useful, but WITHOUT ANY
 WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.
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Keywords: nonlinear optimization, octave, tutorial, Nelder-Mead, Conjugate
 Gradient, Levenberg-Marquardt
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Nonlinear optimization problems are very common and when a solution cannot
 be found analytically, one usually tries to find it numerically.
 This document shows how to perform unconstrained nonlinear minimization
 using the Octave language for numerical computation.
 We assume to be so lucky as to have an initial guess from which to start
 an iterative method, and so impatient as to avoid as much as possible going
 into the details of the algorithm.
 In the following examples, we consider multivariable problems, but the
 single variable case is solved in exactly the same way.
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All the algorithms used below return numerical approximations of 
\emph on 
local minima
\emph default 
 of the optimized function.
 In the following examples, we minimize a function with a single minimum
 (Figure\SpecialChar ~

\begin_inset LatexCommand \ref{fig:function}

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), which is relatively easily found.
 In practice, success of optimization algorithms greatly depend on the optimized
 function and on the starting point.
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A simple example
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 2D and 1D slices of the function that is minimized throughout this tutorial.
 Although not obvious at first sight, it has a unique minimum.
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We will use a call of the type
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[x_best, best_value, niter] = minimize (func, x_init)
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to find the minimum of 
\begin_inset Formula \[
\begin{array}{cccc}
f\, : & \left( x_{1},.x_{2},x_{3}\right) \in \R ^{3} & \longrightarrow  & \left( x_{1}-1\right) ^{2}/9+\left( x_{3}-1\right) ^{2}/9+\left( x_{3}-1\right) ^{2}/9\\
 &  &  & -\cos \left( x_{1}-1\right) -\cos \left( x_{2}-1\right) -\cos \left( x_{3}-1\right) .
\end{array}\]

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The following commands should find a local minimum of 
\begin_inset Formula \( f() \)
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, using the Nelder-Mead (aka 
\begin_inset Quotes eld
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downhill simplex
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) algorithm and starting from a randomly chosen point 
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x0
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:
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function cost = foo (xx)
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  xx--;  
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  cost = sum (-cos(xx)+xx.^2/9);
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endfunction
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x0 = [-1, 3, -2];
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[x,v,n] = minimize ("foo", x0)
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The output should look like\SpecialChar ~
:
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x =
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  1.00000 1.00000 1.00000
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v = -3.0000
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n = 248
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This means that a minimum has been found in 
\begin_inset Formula \( \left( 1,1,1\right)  \)
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 and that the value at that point is 
\begin_inset Formula \( -3 \)
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.
 This is correct, since all the points of the form 
\begin_inset Formula \( x_{1}=1+2i\pi ,\, x_{2}=1+2j\pi ,\, x_{3}=1+2k\pi  \)
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, for some 
\begin_inset Formula \( i,j,k\in \N  \)
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, minimize 
\begin_inset Formula \( f() \)
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.
 The number of function evaluations, 248, is also returned.
 Note that this number depends on the starting point.
 You will most likely obtain different numbers if you change 
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x0
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.
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The Nelder-Mead algorithm is quite robust, but unfortunately it is not very
 efficient.
 For high-dimensional problems, its execution time may become prohibitive.
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Using the first differential
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Fortunately, when a function, like 
\begin_inset Formula \( f() \)
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 above, is differentiable, more efficient optimization algorithms can be
 used.
 If 
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minimize()
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 is given the differential of the optimized function, using the 
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"df"
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 option, it will use a conjugate gradient method.
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## Function returning partial derivatives
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function dc = diffoo (x)
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    x = x(:)' - 1;
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    dc = sin (x) + 2*x/9;
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endfunction
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[x, v, n] = minimize ("foo", x0, "df", "diffoo")
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This produces the output\SpecialChar ~
:
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x =
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  1.00000 1.00000 1.00000
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v = -3 
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n =
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  108 6
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The same minimum has been found, but only 108 function evaluations were
 needed, together with 6 evaluations of the differential.
 Here, 
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diffoo()
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 takes the same argument as 
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foo()
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 and returns the partial derivatives of 
\begin_inset Formula \( f() \)
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 with respect to the corresponding variables.
 It doesn't matter if it returns a row or column vector or a matrix, as
 long as the 
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 element of 
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diffoo(x)
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 is the partial derivative of 
\begin_inset Formula \( f() \)
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 with respect to 
\begin_inset Formula \( x_{i} \)
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 .
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Using numerical approximations of the first differential
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Sometimes, the minimized function is differentiable, but actually writing
 down its differential is more work than one would like.
 Numerical differentiation offers a solution which is less efficient in
 terms of computation cost, but easy to implement.
 The 
\family typewriter 
"ndiff"
\family default 
 option of 
\family typewriter 
minimize()
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 uses numerical differentiation to execute exactly the same algorithm as
 in the previous example.
 However, because numerical approximation of the differentia is used, the
 outpud may differ slightly\SpecialChar ~
:
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[x, v, n] = minimize ("foo", x0, "ndiff")
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wich yields\SpecialChar ~
:
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x =
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  1.00000 1.00000 1.00000
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v = -3 
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n =
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  78 6
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Note that each time the differential is numerically approximated, 
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foo()
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 is called 6 times (twice per input element), so that 
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foo()
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 is evaluated a total of (78+6*6=) 114 times in this example.
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Using the first and second differentials
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When the function is twice differentiable and one knows how to compute its
 first and second differentials, still more efficient algorithms can be
 used (in our case, a variant of Levenberg-Marquardt).
 The option 
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"d2f"
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 allows to specify a function that returns the value of the function, the
 first and second differentials of the minimized function.
 Entering the commands\SpecialChar ~
: 
\layout LyX-Code

function [c, dc, d2c] = d2foo (x)
\layout LyX-Code

    c = foo(x);
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    dc = diffoo(x);
\layout LyX-Code

    d2c = diag (cos (x(:)-1) + 2/9);
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end
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[x,v,n] = minimize ("foo", x0, "d2f", "d2foo") 
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produces the output\SpecialChar ~
:
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x =
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  1.0000 1.0000 1.0000
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v = -3
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n =
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  34 5
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This time, 34 function evaluations, and 5 evaluations of 
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d2foo()
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 were needed.
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Summary
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We have just seen the most basic ways of solving nonlinear unconstrained
 optimization problems.
 The online help system of Octave (try e.g.
 
\begin_inset Quotes eld
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\family typewriter 
help minimize
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\begin_inset Quotes erd
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) will yield information on other issues, such as 
\emph on 
passing extra arguments
\emph default 
 to the minimized function, 
\emph on 
controling the termination
\emph default 
 of the optimization process, choosing the algorithm etc.
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\the_end