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* fminsearch.m: Accept problem structure for Matlab compatibility.
author John W. Eaton <jwe@octave.org>
date Mon, 15 Oct 2018 15:27:36 -0400
parents 8b548f2f8086
children 7fa5ee67094a
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1 ## Copyright (C) 2003-2018 Andy Adler
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2 ## Copyright (C) 2002, 2013 N.J.Higham
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3 ##
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4 ## This file is part of Octave.
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5 ##
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6 ## Octave is free software: you can redistribute it and/or modify it
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7 ## under the terms of the GNU General Public License as published by
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8 ## the Free Software Foundation, either version 3 of the License, or
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9 ## (at your option) any later version.
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10 ##
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11 ## Octave is distributed in the hope that it will be useful, but
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12 ## WITHOUT ANY WARRANTY; without even the implied warranty of
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13 ## MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the
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14 ## GNU General Public License for more details.
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15 ##
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16 ## You should have received a copy of the GNU General Public License
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17 ## along with Octave; see the file COPYING. If not, see
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18 ## <https://www.gnu.org/licenses/>.
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19
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20 ## -*- texinfo -*-
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21 ## @deftypefn {} {@var{x} =} fminsearch (@var{fun}, @var{x0})
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22 ## @deftypefnx {} {@var{x} =} fminsearch (@var{fun}, @var{x0}, @var{options})
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23 ## @deftypefnx {} {@var{x} =} fminsearch (@var{fun}, @var{x0}, @var{options}, @var{fun_arg1}, @var{fun_arg2}, @dots{})
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24 ## @deftypefnx {} {@var{x} =} fminsearch (@var{problem})
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25 ## @deftypefnx {} {[@var{x}, @var{fval}, @var{exitflag}, @var{output}] =} fminsearch (@dots{})
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26 ##
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27 ## Find a value of @var{x} which minimizes the multi-variable function
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28 ## @var{fun}.
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29 ##
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30 ## The search begins at the point @var{x0} and iterates using the
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31 ## @nospell{Nelder & Mead} Simplex algorithm (a derivative-free method). This
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32 ## algorithm is better-suited to functions which have discontinuities or for
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33 ## which a gradient-based search such as @code{fminunc} fails.
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34 ##
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35 ## Options for the search are provided in the parameter @var{options} using the
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36 ## function @code{optimset}. Currently, @code{fminsearch} accepts the options:
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37 ## @qcode{"Display"}, @qcode{"FunValCheck"},@qcode{"MaxFunEvals"},
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38 ## @qcode{"MaxIter"}, @qcode{"OutputFcn"}, @qcode{"TolFun"}, @qcode{"TolX"}.
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39 ##
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40 ## @qcode{"MaxFunEvals"} proscribes the maximum number of function evaluations
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41 ## before optimization is halted. The default value is
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42 ## @code{200 * number_of_variables}, i.e., @code{200 * length (@var{x0})}.
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43 ## The value must be a positive integer.
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44 ##
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45 ## @qcode{"MaxIter"} proscribes the maximum number of algorithm iterations
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46 ## before optimization is halted. The default value is
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47 ## @code{200 * number_of_variables}, i.e., @code{200 * length (@var{x0})}.
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48 ## The value must be a positive integer.
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49 ##
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50 ## For a description of the other options, see @code{optimset}. To initialize
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51 ## an options structure with default values for @code{fminsearch} use
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52 ## @code{options = optimset ("fminsearch")}.
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53 ##
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54 ## Additional inputs for the function @var{fun} can be passed as the fourth
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55 ## and higher arguments. To pass function arguments while using the default
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56 ## @var{options} values, use @code{[]} for @var{options}.
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57 ##
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58 ## @code{fminsearch} may also be called with a single structure argument
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59 ## with the following fields:
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60 ##
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61 ## @table @code
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62 ## @item objective
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63 ## The objective function.
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64 ##
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65 ## @item x0
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66 ## The initial point.
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67 ##
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68 ## @item solver
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69 ## Must be set to @qcode{"fminsearch"}.
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70 ##
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71 ## @item options
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72 ## A structure returned from @code{optimset} or an empty matrix to
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73 ## indicate that defaults should be used.
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74 ## @end table
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75 ##
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76 ## @noindent
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77 ## The field @code{options} is optional. All others are required.
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78 ##
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79 ## On exit, the function returns @var{x}, the minimum point, and @var{fval},
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80 ## the function value at the minimum.
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81 ##
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82 ## The third output @var{exitflag} reports whether the algorithm succeeded and
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83 ## may take one of the following values:
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84 ##
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85 ## @table @asis
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86 ## @item 1
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87 ## if the algorithm converged
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88 ## (size of the simplex is smaller than @code{TolX} @strong{AND} the step in
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89 ## function value between iterations is smaller than @code{TolFun}).
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90 ##
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91 ## @item 0
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92 ## if the maximum number of iterations or the maximum number of function
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93 ## evaluations are exceeded.
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94 ##
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95 ## @item -1
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96 ## if the iteration is stopped by the @qcode{"OutputFcn"}.
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97 ## @end table
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98 ##
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99 ## The fourth output is a structure @var{output} containing runtime
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100 ## about the algorithm. Fields in the structure are @code{funcCount}
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101 ## containing the number of function calls to @var{fun}, @code{iterations}
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102 ## containing the number of iteration steps, @code{algorithm} with the name of
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103 ## the search algorithm (always:
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104 ## @nospell{@qcode{"Nelder-Mead simplex direct search"}}), and @code{message}
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105 ## with the exit message.
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106 ##
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107 ## Example:
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108 ##
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109 ## @example
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110 ## fminsearch (@@(x) (x(1)-5).^2+(x(2)-8).^4, [0;0])
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111 ## @end example
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112 ##
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113 ## Note: If you need to find the minimum of a single variable function it is
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114 ## probably better to use @code{fminbnd}.
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115 ## @seealso{fminbnd, fminunc, optimset}
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116 ## @end deftypefn
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117
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118 ## PKG_ADD: ## Discard result to avoid polluting workspace with ans at startup.
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119 ## PKG_ADD: [~] = __all_opts__ ("fminsearch");
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120
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121 ## FIXME: Add support for output function with "state" set to "interrupt".
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122
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123 function [x, fval, exitflag, output] = fminsearch (varargin)
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124
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125 if (nargin < 1)
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126 print_usage ();
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127 endif
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128
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129 ## Get default options if requested.
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130 if (nargin == 1 && ischar (varargin{1}) && strcmp (varargin{1}, "defaults"))
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131 x = optimset ("Display", "notify", "FunValCheck", "off",
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132 "MaxFunEvals", [], "MaxIter", [],
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133 "OutputFcn", [],
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134 "TolFun", 1e-4, "TolX", 1e-4);
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135 return;
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136 endif
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137
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138 if (nargin == 1)
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139 problem = varargin{1};
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140 varargin = {};
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141 if (! isstruct (problem))
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142 error ("fminsearch: PROBLEM must be a structure");
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143 endif
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144 fun = problem.objective;
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145 x0 = problem.x0;
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146 if (! strcmp (problem.solver, "fminsearch"))
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147 error ('fminsearch: problem.solver must be set to "fminsearch"');
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148 endif
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149 if (isfield (problem, "options"))
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150 options = problem.options;
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151 else
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152 options = [];
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153 endif
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154 elseif (nargin > 1)
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155 fun = varargin{1};
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156 x0 = varargin{2};
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157 if (nargin > 2)
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158 options = varargin{3};
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159 varargin(1:3) = [];
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160 else
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161 options = [];
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162 varargin = {};
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163 endif
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164 endif
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165
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166 if (isempty (options))
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167 options = struct ();
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168 endif
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169
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170 [x, exitflag, output] = nmsmax (fun, x0, options, varargin{:});
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171
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172 if (isargout (2))
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173 fval = feval (fun, x);
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174 endif
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175
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176 endfunction
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177
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178 ## NMSMAX Nelder-Mead simplex method for direct search optimization.
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179 ## [x, fmax, nf] = NMSMAX(FUN, x0, STOPIT, SAVIT) attempts to
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180 ## maximize the function FUN, using the starting vector x0.
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181 ## The Nelder-Mead direct search method is used.
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182 ## Output arguments:
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183 ## x = vector yielding largest function value found,
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184 ## fmax = function value at x,
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185 ## nf = number of function evaluations.
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186 ## The iteration is terminated when either
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187 ## - the relative size of the simplex is <= STOPIT(1)
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188 ## (default 1e-3),
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189 ## - STOPIT(2) function evaluations have been performed
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190 ## (default inf, i.e., no limit), or
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191 ## - a function value equals or exceeds STOPIT(3)
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192 ## (default inf, i.e., no test on function values).
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193 ## The form of the initial simplex is determined by STOPIT(4):
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194 ## STOPIT(4) = 0: regular simplex (sides of equal length, the default)
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195 ## STOPIT(4) = 1: right-angled simplex.
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196 ## Progress of the iteration is not shown if STOPIT(5) = 0 (default 1).
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197 ## STOPIT(6) indicates the direction (i.e., minimization or
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198 ## maximization.) Default is 1, maximization.
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199 ## set STOPIT(6)=-1 for minimization
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200 ## If a non-empty fourth parameter string SAVIT is present, then
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201 ## 'SAVE SAVIT x fmax nf' is executed after each inner iteration.
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202 ## NB: x0 can be a matrix. In the output argument, in SAVIT saves,
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203 ## and in function calls, x has the same shape as x0.
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204 ## NMSMAX(fun, x0, STOPIT, SAVIT, P1, P2,...) allows additional
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205 ## arguments to be passed to fun, via feval(fun,x,P1,P2,...).
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206 ## References:
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207 ## N. J. Higham, Optimization by direct search in matrix computations,
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208 ## SIAM J. Matrix Anal. Appl, 14(2): 317-333, 1993.
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209 ## C. T. Kelley, Iterative Methods for Optimization, Society for Industrial
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210 ## and Applied Mathematics, Philadelphia, PA, 1999.
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211
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212 ## From Matrix Toolbox
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213 ## Copyright (C) 2002, 2013 N.J.Higham
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214 ## www.maths.man.ac.uk/~higham/mctoolbox
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215 ##
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216 ## Modifications for Octave by A.Adler 2003
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217
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218 function [stopit, savit, dirn, trace, tol, maxiter, tol_f, outfcn] = ...
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diff changeset
219 parse_options (options, x)
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220
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221 ## Tolerance for cgce test based on relative size of simplex.
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222 stopit(1) = tol = optimget (options, "TolX", 1e-4);
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223
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224 ## Tolerance for cgce test based on step in function value.
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225 tol_f = optimget (options, "TolFun", 1e-4);
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226
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227 ## Max number of function evaluations.
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228 stopit(2) = optimget (options, "MaxFunEvals", 200 * length (x));
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229
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230 ## Max number of iterations
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231 maxiter = optimget (options, "MaxIter", 200 * length (x));
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232
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233 ## Default target for function values.
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234 stopit(3) = Inf; # FIXME: expose this parameter to the outside
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235
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236 ## Default initial simplex.
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237 stopit(4) = 0; # FIXME: expose this parameter to the outside
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238
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239 ## Default: show progress.
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240 display = optimget (options, "Display", "notify");
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241 switch (display)
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242 case "iter"
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243 stopit(5) = 1;
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244 case "final"
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245 stopit(5) = 2;
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246 case "notify"
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247 stopit(5) = 3;
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248 otherwise # "none"
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249 stopit(5) = 0;
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250 endswitch
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251 trace = stopit(5);
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252
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253 ## Use function to minimize, not maximize
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254 stopit(6) = dirn = -1;
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255
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256 ## Filename for snapshots.
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257 savit = []; # FIXME: expose this parameter to the outside
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258
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259 ## OutputFcn
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260 outfcn = optimget (options, "OutputFcn");
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261
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262 endfunction
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parents:
diff changeset
263
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
264 function [x, exitflag, output] = nmsmax (fun, x, options, varargin)
14895
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Andy Adler <andy@analyti.ca>
parents:
diff changeset
265
23113
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Markus Muetzel <markus.muetzel@gmx.de>
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diff changeset
266 [stopit, savit, dirn, trace, tol, maxiter, tol_f, outfcn] = ...
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
267 parse_options (options, x);
14895
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Andy Adler <andy@analyti.ca>
parents:
diff changeset
268
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
269 if (strcmpi (optimget (options, "FunValCheck", "off"), "on"))
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Andy Adler <andy@analyti.ca>
parents:
diff changeset
270 ## Replace fcn with a guarded version.
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Andy Adler <andy@analyti.ca>
parents:
diff changeset
271 fun = @(x) guarded_eval (fun, x);
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
272 endif
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
273
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
274 x0 = x(:); # Work with column vector internally.
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
275 n = length (x0);
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
276
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
277 V = [zeros(n,1) eye(n)];
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
278 f = zeros (n+1,1);
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
279 V(:,1) = x0;
25930
a00379f6f8c4 * fminsearch.m: Accept problem structure for Matlab compatibility.
John W. Eaton <jwe@octave.org>
parents: 25828
diff changeset
280 f(1) = dirn * fun (x, varargin{:});
14895
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Andy Adler <andy@analyti.ca>
parents:
diff changeset
281 fmax_old = f(1);
23113
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Markus Muetzel <markus.muetzel@gmx.de>
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diff changeset
282 nf = 1;
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
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diff changeset
283
23113
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Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
284 if (trace == 1)
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
285 printf ("f(x0) = %9.4e\n", f(1));
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
286 endif
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
287
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
288 k = 0; m = 0;
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
289
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Andy Adler <andy@analyti.ca>
parents:
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290 ## Set up initial simplex.
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
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diff changeset
291 scale = max (norm (x0, Inf), 1);
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
292 if (stopit(4) == 0)
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
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293 ## Regular simplex - all edges have same length.
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294 ## Generated from construction given in reference [18, pp. 80-81] of [1].
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Andy Adler <andy@analyti.ca>
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diff changeset
295 alpha = scale / (n*sqrt (2)) * [sqrt(n+1)-1+n, sqrt(n+1)-1];
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
296 V(:,2:n+1) = (x0 + alpha(2)*ones (n,1)) * ones (1,n);
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
297 for j = 2:n+1
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
298 V(j-1,j) = x0(j-1) + alpha(1);
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
299 x(:) = V(:,j);
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
300 f(j) = dirn * feval (fun,x,varargin{:});
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
301 endfor
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
302 else
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
303 ## Right-angled simplex based on co-ordinate axes.
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
304 alpha = scale * ones(n+1,1);
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
305 for j = 2:n+1
14895
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Andy Adler <andy@analyti.ca>
parents:
diff changeset
306 V(:,j) = x0 + alpha(j)*V(:,j);
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
307 x(:) = V(:,j);
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
308 f(j) = dirn * feval (fun,x,varargin{:});
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
309 endfor
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
310 endif
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
311 nf += n;
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
312 how = "initial ";
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
313
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
314 [~, j] = sort (f);
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
315 j = j(n+1:-1:1);
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
316 f = f(j);
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
317 V = V(:,j);
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
318
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
319 exitflag = 0;
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
320
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
321 if (! isempty (outfcn))
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
322 optimvalues.iteration = 0;
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
323 optimvalues.funccount = nf;
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
324 optimvalues.fval = f(1);
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
325 optimvalues.procedure = how;
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
326 state = "init";
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
327 stop = outfcn (x, optimvalues, state);
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
328 if (stop)
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
329 msg = "Stopped by OutputFcn\n";
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
330 exitflag = -1;
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
331 endif
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
332 endif
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
333
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
334 alpha = 1; beta = 1/2; gamma = 2;
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
335
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
336 while (exitflag != -1) # Outer (and only) loop.
20735
418ae0cb752f Replace ++,-- with in-place operators for performance.
Rik <rik@octave.org>
parents: 20713
diff changeset
337 k += 1;
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
338
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
339 if (k > maxiter)
25739
8eec0403a370 fminsearch.m: Update default TolFun to 1e-4 for Matlab compatibility.
Rik <rik@octave.org>
parents: 25231
diff changeset
340 msg = "Exceeded maximum iterations\n";
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
341 break;
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
342 endif
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
343
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
344 fmax = f(1);
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
345 if (fmax > fmax_old)
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
346 if (! isempty (savit))
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
347 x(:) = V(:,1);
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
348 eval (["save " savit " x fmax nf"]);
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
349 endif
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
350 endif
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
351 if (trace == 1)
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
352 printf ("Iter. %2.0f,", k);
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
353 printf (" how = %-11s", [how ","]);
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
354 printf ("nf = %3.0f, f = %9.4e (%2.1f%%)\n", nf, fmax, ...
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
355 100*(fmax-fmax_old)/(abs(fmax_old)+eps));
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
356 endif
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
357 fmax_old = fmax;
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
358
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
359 ## Three stopping tests from MDSMAX.M
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
360
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
361 ## Stopping Test 1 - f reached target value?
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
362 if (fmax >= stopit(3))
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
363 msg = "Exceeded target...quitting\n";
25739
8eec0403a370 fminsearch.m: Update default TolFun to 1e-4 for Matlab compatibility.
Rik <rik@octave.org>
parents: 25231
diff changeset
364 ## FIXME: Add documentation when stopit(3) gets exposed to the outside
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
365 exitflag = -1;
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
366 break;
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
367 endif
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
368
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
369 ## Stopping Test 2 - too many f-evals?
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
370 if (nf >= stopit(2))
25739
8eec0403a370 fminsearch.m: Update default TolFun to 1e-4 for Matlab compatibility.
Rik <rik@octave.org>
parents: 25231
diff changeset
371 msg = "Exceeded maximum number of function evaluations\n";
8eec0403a370 fminsearch.m: Update default TolFun to 1e-4 for Matlab compatibility.
Rik <rik@octave.org>
parents: 25231
diff changeset
372 exitflag = 0;
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
373 break;
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
374 endif
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
375
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
376 ## Stopping Test 3 - converged? The first part is test (4.3) in [1].
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
377 v1 = V(:,1);
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
378 size_simplex = norm (V(:,2:n+1)-v1(:,ones (1,n)),1) / max (1, norm (v1,1));
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
379 step_f = max (abs (f(1) - f(2:n+1)));
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
380 if (size_simplex <= tol && step_f <= tol_f )
25739
8eec0403a370 fminsearch.m: Update default TolFun to 1e-4 for Matlab compatibility.
Rik <rik@octave.org>
parents: 25231
diff changeset
381 msg = sprintf (["Algorithm converged. Simplex size %9.4e <= %9.4e ", ...
8eec0403a370 fminsearch.m: Update default TolFun to 1e-4 for Matlab compatibility.
Rik <rik@octave.org>
parents: 25231
diff changeset
382 "and step in function value %9.4e <= %9.4e\n"], ...
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
383 size_simplex, tol, step_f, tol_f);
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
384 exitflag = 1;
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
385 break;
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
386 endif
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
387
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
388 ## Call OutputFcn
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
389 if (! isempty (outfcn))
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
390 optimvalues.funccount = nf;
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
391 optimvalues.fval = f(1);
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
392 optimvalues.iteration = k;
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
393 optimvalues.procedure = how;
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
394 state = "iter";
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
395 stop = outfcn (x, optimvalues, state);
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
396 if (stop)
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
397 msg = "Stopped by OutputFcn\n";
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
398 exitflag = -1;
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
399 break;
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
400 endif
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
401 endif
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
402
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
403 ## One step of the Nelder-Mead simplex algorithm
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
404 ## NJH: Altered function calls and changed CNT to NF.
15468
6437fa7263dd use ' instead of ` in error messages, warnings and most comments
John W. Eaton <jwe@octave.org>
parents: 14895
diff changeset
405 ## Changed each 'fr < f(1)' type test to '>' for maximization
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
406 ## and re-ordered function values after sort.
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
407
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
408 vbar = (sum (V(:,1:n)')/n)'; # Mean value
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
409 vr = (1 + alpha)*vbar - alpha*V(:,n+1);
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
410 x(:) = vr;
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
411 fr = dirn * feval (fun,x,varargin{:});
20231
83792dd9bcc1 Use in-place operators in m-files where possible.
Rik <rik@octave.org>
parents: 20165
diff changeset
412 nf += 1;
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
413 vk = vr; fk = fr; how = "reflect";
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
414 if (fr > f(n))
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
415 if (fr > f(1))
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
416 ve = gamma*vr + (1-gamma)*vbar;
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
417 x(:) = ve;
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
418 fe = dirn * feval (fun,x,varargin{:});
20231
83792dd9bcc1 Use in-place operators in m-files where possible.
Rik <rik@octave.org>
parents: 20165
diff changeset
419 nf += 1;
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
420 if (fe > f(1))
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
421 vk = ve;
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
422 fk = fe;
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
423 how = "expand";
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
424 endif
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
425 endif
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
426 else
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
427 vt = V(:,n+1);
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
428 ft = f(n+1);
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
429 if (fr > ft)
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
430 vt = vr;
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
431 ft = fr;
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
432 endif
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
433 vc = beta*vt + (1-beta)*vbar;
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
434 x(:) = vc;
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
435 fc = dirn * feval (fun,x,varargin{:});
20231
83792dd9bcc1 Use in-place operators in m-files where possible.
Rik <rik@octave.org>
parents: 20165
diff changeset
436 nf += 1;
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
437 if (fc > f(n))
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
438 vk = vc; fk = fc;
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
439 how = "contract";
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
440 else
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
441 for j = 2:n
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
442 V(:,j) = (V(:,1) + V(:,j))/2;
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
443 x(:) = V(:,j);
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
444 f(j) = dirn * feval (fun,x,varargin{:});
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
445 endfor
20231
83792dd9bcc1 Use in-place operators in m-files where possible.
Rik <rik@octave.org>
parents: 20165
diff changeset
446 nf += n-1;
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
447 vk = (V(:,1) + V(:,n+1))/2;
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
448 x(:) = vk;
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
449 fk = dirn * feval (fun,x,varargin{:});
20231
83792dd9bcc1 Use in-place operators in m-files where possible.
Rik <rik@octave.org>
parents: 20165
diff changeset
450 nf += 1;
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
451 how = "shrink";
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
452 endif
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
453 endif
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
454 V(:,n+1) = vk;
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
455 f(n+1) = fk;
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
456 [~,j] = sort(f);
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
457 j = j(n+1:-1:1);
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
458 f = f(j);
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
459 V = V(:,j);
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
460
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
461 endwhile # End of outer (and only) loop.
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
462
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
463 ## Finished.
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
464 if ( (trace == 1) || (trace == 2) || (trace == 3 && exitflag != 1) )
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
465 printf (msg);
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
466 endif
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
467 x(:) = V(:,1);
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
468
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
469 ## FIXME: Should outputfcn be called only if exitflag != 0,
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
470 ## i.e., only when we have successfully converged?
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
471 if (! isempty (outfcn))
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
472 optimvalues.funccount = nf;
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
473 optimvalues.fval = f(1);
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
474 optimvalues.iteration = k;
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
475 optimvalues.procedure = how;
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
476 state = "done";
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
477 outfcn (x, optimvalues, state);
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
478 endif
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
479
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
480 ## output
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
481 output.iterations = k;
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
482 output.funcCount = nf;
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
483 output.algorithm = "Nelder-Mead simplex direct search";
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
484 output.message = msg;
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
485
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
486 endfunction
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
487
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
488 ## A helper function that evaluates a function and checks for bad results.
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
489 function y = guarded_eval (fun, x)
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
490
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
491 y = fun (x);
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
492
22962
fba8a6c742c6 fminsearch.m: Fix error in "guarded_eval".
Markus Muetzel <markus.muetzel@gmx.de>
parents: 22323
diff changeset
493 if (! (isreal (y)))
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
494 error ("fminsearch:notreal", "fminsearch: non-real value encountered");
22962
fba8a6c742c6 fminsearch.m: Fix error in "guarded_eval".
Markus Muetzel <markus.muetzel@gmx.de>
parents: 22323
diff changeset
495 elseif (any (isnan (y(:))))
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
496 error ("fminsearch:isnan", "fminsearch: NaN value encountered");
22962
fba8a6c742c6 fminsearch.m: Fix error in "guarded_eval".
Markus Muetzel <markus.muetzel@gmx.de>
parents: 22323
diff changeset
497 elseif (any (isinf (y(:))))
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
498 error ("fminsearch:isinf", "fminsearch: Inf value encountered");
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
499 endif
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
500
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
501 endfunction
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
502
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
503
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
504 %!demo
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
505 %! clf;
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
506 %! hold on;
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
507 %! draw_fcn = @(x) (plot (x(1), x(2)) && false);
22962
fba8a6c742c6 fminsearch.m: Fix error in "guarded_eval".
Markus Muetzel <markus.muetzel@gmx.de>
parents: 22323
diff changeset
508 %! fcn = @(x) (x(1)-5).^2 + (x(2)-8).^4;
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
509 %! x0 = [0;0];
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
510 %! [xmin, fval] = fminsearch (fcn, x0, optimset ("OutputFcn", draw_fcn))
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
511 %! hold off;
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
512
22962
fba8a6c742c6 fminsearch.m: Fix error in "guarded_eval".
Markus Muetzel <markus.muetzel@gmx.de>
parents: 22323
diff changeset
513 %!assert (fminsearch (@sin, 3, optimset ("MaxIter", 30)), 3*pi/2, 1e-4)
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
514
25231
e1024058833c test: change remaining %!xtests into %!tests
Mike Miller <mtmiller@octave.org>
parents: 25054
diff changeset
515 ## FIXME: The following test is for checking that fminsearch stops earlier
e1024058833c test: change remaining %!xtests into %!tests
Mike Miller <mtmiller@octave.org>
parents: 25054
diff changeset
516 ## with these settings. If the optimizer algorithm is changed, it
e1024058833c test: change remaining %!xtests into %!tests
Mike Miller <mtmiller@octave.org>
parents: 25054
diff changeset
517 ## may fail. Just adapt the values to make it pass again.
e1024058833c test: change remaining %!xtests into %!tests
Mike Miller <mtmiller@octave.org>
parents: 25054
diff changeset
518 %!test
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
519 %! x = fminsearch (@sin, 3, optimset ("MaxIter", 3, "Display", "none"));
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
520 %! assert (x, 4.8750, 1e-4);
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
521 %! x = fminsearch (@sin, 3, optimset ("MaxFunEvals", 18, "Display", "none"));
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
522 %! assert (x, 4.7109, 1e-4);
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
523
22962
fba8a6c742c6 fminsearch.m: Fix error in "guarded_eval".
Markus Muetzel <markus.muetzel@gmx.de>
parents: 22323
diff changeset
524 %!test
25930
a00379f6f8c4 * fminsearch.m: Accept problem structure for Matlab compatibility.
John W. Eaton <jwe@octave.org>
parents: 25828
diff changeset
525 %! problem.objective = @sin;
a00379f6f8c4 * fminsearch.m: Accept problem structure for Matlab compatibility.
John W. Eaton <jwe@octave.org>
parents: 25828
diff changeset
526 %! problem.x0 = 3;
a00379f6f8c4 * fminsearch.m: Accept problem structure for Matlab compatibility.
John W. Eaton <jwe@octave.org>
parents: 25828
diff changeset
527 %! problem.solver = "fminsearch";
a00379f6f8c4 * fminsearch.m: Accept problem structure for Matlab compatibility.
John W. Eaton <jwe@octave.org>
parents: 25828
diff changeset
528 %! problem.options = optimset ("MaxIter", 3, "Display", "none")
a00379f6f8c4 * fminsearch.m: Accept problem structure for Matlab compatibility.
John W. Eaton <jwe@octave.org>
parents: 25828
diff changeset
529 %! x = fminsearch (problem);
a00379f6f8c4 * fminsearch.m: Accept problem structure for Matlab compatibility.
John W. Eaton <jwe@octave.org>
parents: 25828
diff changeset
530 %! assert (x, 4.8750, 1e-4);
a00379f6f8c4 * fminsearch.m: Accept problem structure for Matlab compatibility.
John W. Eaton <jwe@octave.org>
parents: 25828
diff changeset
531 %! problem.options = optimset ("MaxFunEvals", 18, "Display", "none")
a00379f6f8c4 * fminsearch.m: Accept problem structure for Matlab compatibility.
John W. Eaton <jwe@octave.org>
parents: 25828
diff changeset
532 %! x = fminsearch (problem);
a00379f6f8c4 * fminsearch.m: Accept problem structure for Matlab compatibility.
John W. Eaton <jwe@octave.org>
parents: 25828
diff changeset
533 %! assert (x, 4.7109, 1e-4);
a00379f6f8c4 * fminsearch.m: Accept problem structure for Matlab compatibility.
John W. Eaton <jwe@octave.org>
parents: 25828
diff changeset
534
a00379f6f8c4 * fminsearch.m: Accept problem structure for Matlab compatibility.
John W. Eaton <jwe@octave.org>
parents: 25828
diff changeset
535 %!test
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
536 %! c = 1.5;
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
537 %! assert (fminsearch (@(x) x(1).^2 + c*x(2).^2, [1;1]), [0;0], 1e-4);
22962
fba8a6c742c6 fminsearch.m: Fix error in "guarded_eval".
Markus Muetzel <markus.muetzel@gmx.de>
parents: 22323
diff changeset
538
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
539 ## additional input argument
22967
3c896180df16 Pass additional arguments for fminsearch to called function (bug #41888).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 22963
diff changeset
540 %!test
3c896180df16 Pass additional arguments for fminsearch to called function (bug #41888).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 22963
diff changeset
541 %! x1 = fminsearch (@(x, c) x(1).^2 + c*x(2).^2, [1;1], [], 1.5);
3c896180df16 Pass additional arguments for fminsearch to called function (bug #41888).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 22963
diff changeset
542 %! assert (x1, [0;0], 1e-4);
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
543 %! x1 = fminsearch (@(x, c) c(1)*x(1).^2 + c(2)*x(2).^2, [1;1], ...
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
544 %! optimset ("Display", "none"), [1 1.5]);
22967
3c896180df16 Pass additional arguments for fminsearch to called function (bug #41888).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 22963
diff changeset
545 %! assert (x1, [0;0], 1e-4);
22962
fba8a6c742c6 fminsearch.m: Fix error in "guarded_eval".
Markus Muetzel <markus.muetzel@gmx.de>
parents: 22323
diff changeset
546
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
547 ## all output arguments
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
548 %!test
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
549 %! options = optimset ("Display", "none", "TolX", 1e-4, "TolFun", 1e-7);
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
550 %! [x, fval, exitflag, output] = fminsearch (@sin, 3, options);
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
551 %! assert (x, 3*pi/2, options.TolX);
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
552 %! assert (fval, -1, options.TolFun);
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
553 %! assert (exitflag, 1);
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
554 %! assert (isstruct (output));
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
555 %! assert (isfield (output, "iterations") && isnumeric (output.iterations)
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
556 %! && isscalar (output.iterations) && output.iterations > 0);
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
557 %! assert (isfield (output, "funcCount") && isnumeric (output.funcCount)
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
558 %! && isscalar (output.funcCount) && output.funcCount > 0);
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
559 %! assert (isfield (output, "algorithm") && ischar (output.algorithm));
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
560 %! assert (isfield (output, "message") && ischar (output.message));
14895
e0525ecf156e Add new function fminsearch.m
Andy Adler <andy@analyti.ca>
parents:
diff changeset
561
22962
fba8a6c742c6 fminsearch.m: Fix error in "guarded_eval".
Markus Muetzel <markus.muetzel@gmx.de>
parents: 22323
diff changeset
562 ## Tests for guarded_eval
fba8a6c742c6 fminsearch.m: Fix error in "guarded_eval".
Markus Muetzel <markus.muetzel@gmx.de>
parents: 22323
diff changeset
563 %!error <non-real value encountered>
fba8a6c742c6 fminsearch.m: Fix error in "guarded_eval".
Markus Muetzel <markus.muetzel@gmx.de>
parents: 22323
diff changeset
564 %! fminsearch (@(x) ([0 2i]), 0, optimset ("FunValCheck", "on"));
fba8a6c742c6 fminsearch.m: Fix error in "guarded_eval".
Markus Muetzel <markus.muetzel@gmx.de>
parents: 22323
diff changeset
565 %!error <NaN value encountered>
fba8a6c742c6 fminsearch.m: Fix error in "guarded_eval".
Markus Muetzel <markus.muetzel@gmx.de>
parents: 22323
diff changeset
566 %! fminsearch (@(x) (NaN), 0, optimset ("FunValCheck", "on"));
fba8a6c742c6 fminsearch.m: Fix error in "guarded_eval".
Markus Muetzel <markus.muetzel@gmx.de>
parents: 22323
diff changeset
567 %!error <Inf value encountered>
fba8a6c742c6 fminsearch.m: Fix error in "guarded_eval".
Markus Muetzel <markus.muetzel@gmx.de>
parents: 22323
diff changeset
568 %! fminsearch (@(x) (Inf), 0, optimset ("FunValCheck", "on"));
23113
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
569
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
570 ## Test input validation
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
571 %!error fminsearch ()
9241a0fa7873 Additional output arguments for fminsearch (bug #44220).
Markus Muetzel <markus.muetzel@gmx.de>
parents: 23085
diff changeset
572 %!error fminsearch (1)