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Matlab Optimization Toolbox: Most Materials Are Obtained From Matlab Website

The Matlab Optimization Toolbox can solve various optimization problems including unconstrained and constrained nonlinear minimization, linear and quadratic programming, nonlinear least squares problems, and large-scale sparse problems. It includes functions like fminunc, fmincon, linprog, and lsqnonlin. Users provide objective functions and constraints, set options, and can supply gradient, Hessian, and Hessian vector product information to help with convergence. The toolbox finds minima or roots by choosing an appropriate algorithm like active-set, trust-region-reflective, or interior-point.

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Abhijit Haval
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79 views

Matlab Optimization Toolbox: Most Materials Are Obtained From Matlab Website

The Matlab Optimization Toolbox can solve various optimization problems including unconstrained and constrained nonlinear minimization, linear and quadratic programming, nonlinear least squares problems, and large-scale sparse problems. It includes functions like fminunc, fmincon, linprog, and lsqnonlin. Users provide objective functions and constraints, set options, and can supply gradient, Hessian, and Hessian vector product information to help with convergence. The toolbox finds minima or roots by choosing an appropriate algorithm like active-set, trust-region-reflective, or interior-point.

Uploaded by

Abhijit Haval
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Matlab Optimization Toolbox

Most materials are obtained from Matlab website


http://www.mathworks.com/access/helpdesk/help/toolbox/optim/

What it can solve?

Unconstrained nonlinear minimization


Constrained nonlinear minimization
Quadratic and linear programming
Nonlinear least-squares and curve fitting
Constrained linear least squares
Sparse and structured large-scale problems,
including linear programming and constrained
nonlinear minimization
Multiobjective optimization

Function List (I)


Unconstrained minimization
fminunc Find minimum of unconstrained multivariable function
fminsearch Find minimum of unconstrained multivariable function
using derivative-free method

Constrained minimization

fminbnd Find minimum of single-variable function on fixed interval


Linprog Solve linear programming problems
quadprog Solve quadratic programming problems
fmincon Find minimum of constrained nonlinear multivariable fn
fminimax Solve minimax constraint problem
bintprog Solve binary integer programming problems
fgoalattain Solve multiobjective goal attainment problems
fseminf
Find minimum of semi-infinitely constrained multivariable
nonlinear function
ktrlink
Find minimum of constrained or unconstrained nonlinear
multivariable function using KNITRO third-party libraries

Function List (II)


Equation Solving
fsolve
fzero

Solve system of nonlinear equations


Find root of continuous function of one variable

Least Squares (Curve Fitting)


lsqcurvefit Solve nonlinear curve-fitting (data-fitting) problems in leastsquares sense
lsqlin Solve constrained linear least-squares problems
lsqnonlin Solve nonlinear least-squares (nonlinear data-fitting) problems
lsqnonneg Solve nonnegative least-squares constraint problem

GUI
optimtool Tool to select solver, optimization options, and run problems

Utilities

fzmult Multiplication with fundamental nullspace basis


gangstr Zero out "small" entries subject to structural rank
optimget Optimization options values
optimset Create or edit optimization options structure

How to use them?


Example: Rosenbrocks function

Use fmincon
The interface of fmincon

x = fmincon(fun,x0,A,b,Aeq,beq,
lb,ub,nonlcon,options)

Write the objective function


function f = rosenbrock(x)
f = 100*(x(2)-x(1)^2)^2+(1-x(1))^2;

Write the constraint


function [c, ceq] = unitdisk(x)
c = x(1)^2 + x(2)^2 - 1;
ceq = [ ];

Execution
[x,fval] = fmincon(@rosenbrock,[0 0],...
[],[],[],[],[],[],@unitdisk)

Add Options
Matlab does have struct
Options is a huge structure containing

Algorithm: Chooses the algorithm used by the solver.


Display: Level of display.
GradObj: User-defined gradients for the objective functions.
Hessian: User-defined Hessian or Hessian information.
HessMult: Handle to a user-supplied Hessian multiply function.
HessUpdate: Quasi-Newton updating scheme.
Jacobian: User-defined Jacobian or Jacobian information.
JacobMult:User-defined Jacobian multiply function.
MaxIter: Maximum number of iterations allowed
TolFun: Termination tolerance on the function value.

Add Options
Use command to set/get options
Options = optimset('Display','iter',...
'Algorithm','active-set');

Or just

Options = optimset;
Options.Display = 'iter';
Options.Algorithm = 'active-set';

Optimset can help validating the value.

Or you can use GUI optimtool to set them.

Gradient
If gradient or Hessian are not provided,
Matlab uses finite difference to
approximate them (for some functions).
To provide gradient
Enable options: optimset(GradObj',on')
The user function
function [f g] = rosenbrock(x)
f = 100*(x(2) - x(1)^2)^2 + (1-x(1))^2;
g = [-400*(x(2)-x(1)^2)*x(1)-2*(1-x(1));
200*(x(2)-x(1)^2)];
end

Algorithms and Hessian

There are three algorithms in fmincon


1. Active-set: use quasi-Newton approximation
2. Trust-region-reflective (default): user
supplied or finite-difference approximation
3. Interior-point: many ways to define Hessian

User-supplied Hessian:

optimset('Hessian','user-supplied','HessFcn',@hessianfcn)

Quasi-Newton: optimset('Hessian','bfgs') or
optimset('Hessian',{'lbfgs',positive integer});

Finite differences of the gradient

Option HessMult
You can define your own matrix-vector
multiplication function for Hessian
optimset('Hessian','user-supplied',...
'SubproblemAlgorithm','cg', ...
'HessMult',@HessMultFcn);

In the trust-region-reflective algorithm


W = HessMultFcn(H,v);

In the interior point algorithm


W = HessMultFcn(x,lambda,v);

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