Mercurial > octave
changeset 25739:8eec0403a370
fminsearch.m: Update default TolFun to 1e-4 for Matlab compatibility.
* NEWS: Announce change in the default value of TolFun.
* fminsearch.m: Redo parts of docstring to be clearer. Change default TolFun
value to 1e-4. Change reported optimset defaults for MaxFunEvals and MaxIter
to [] rather than 400. Change optional output messages to be clearer.
author | Rik <rik@octave.org> |
---|---|
date | Fri, 03 Aug 2018 14:46:08 -0700 |
parents | 8cdaef4c6d44 |
children | b1e0e58971f9 |
files | NEWS scripts/optimization/fminsearch.m |
diffstat | 2 files changed, 45 insertions(+), 23 deletions(-) [+] |
line wrap: on
line diff
--- a/NEWS Fri Aug 03 14:00:17 2018 -0700 +++ b/NEWS Fri Aug 03 14:46:08 2018 -0700 @@ -32,6 +32,10 @@ TolX | 1e-6 | 1e-7 Updating | "off" | "on" + ** The fminsearch function has changed default TolFun accuracy to 1e-4 + from 1e-7. This change was made for Matlab compatibility, but may + result in different results from existing code. + ** Figure graphic objects have a new property "Number" which is read-only and will return the handle (number) of the figure. However, if the property "IntegerHandle" has been set to "off" then
--- a/scripts/optimization/fminsearch.m Fri Aug 03 14:00:17 2018 -0700 +++ b/scripts/optimization/fminsearch.m Fri Aug 03 14:46:08 2018 -0700 @@ -23,7 +23,8 @@ ## @deftypefnx {} {@var{x} =} fminsearch (@var{fun}, @var{x0}, @var{options}, @var{fun_arg1}, @var{fun_arg2}, @dots{}) ## @deftypefnx {} {[@var{x}, @var{fval}, @var{exitflag}, @var{output}] =} fminsearch (@dots{}) ## -## Find a value of @var{x} which minimizes the function @var{fun}. +## Find a value of @var{x} which minimizes the multi-variable function +## @var{fun}. ## ## The search begins at the point @var{x0} and iterates using the ## @nospell{Nelder & Mead} Simplex algorithm (a derivative-free method). This @@ -32,9 +33,22 @@ ## ## Options for the search are provided in the parameter @var{options} using the ## function @code{optimset}. Currently, @code{fminsearch} accepts the options: -## @qcode{"TolX"}, @qcode{"TolFun"}, @qcode{"MaxFunEvals"}, @qcode{"MaxIter"}, -## @qcode{"Display"}, @qcode{"FunValCheck"}, and @qcode{"OutputFcn"}. -## For a description of these options, see @code{optimset}. +## @qcode{"Display"}, @qcode{"FunValCheck"},@qcode{"MaxFunEvals"}, +## @qcode{"MaxIter"}, @qcode{"OutputFcn"}, @qcode{"TolFun"}, @qcode{"TolX"}. +## +## @qcode{"MaxFunEvals"} proscribes the maximum number of function evaluations +## before optimization is halted. The default value is +## @code{200 * number_of_variables}, i.e., @code{200 * length (@var{x0})}. +## The value must be a positive integer. +## +## @qcode{"MaxIter"} proscribes the maximum number of algorithm iterations +## before optimization is halted. The default value is +## @code{200 * number_of_variables}, i.e., @code{200 * length (@var{x0})}. +## The value must be a positive integer. +## +## For a description of the other options, see @code{optimset}. To initialize +## an options structure with default values for @code{fminsearch} use +## @code{options = optimset ("fminsearch")}. ## ## Additional inputs for the function @var{fun} can be passed as the fourth ## and higher arguments. To pass function arguments while using the default @@ -43,14 +57,14 @@ ## On exit, the function returns @var{x}, the minimum point, and @var{fval}, ## the function value at the minimum. ## -## The third return value @var{exitflag} is +## The third output @var{exitflag} reports whether the algorithm succeeded and +## may take one of the following values: ## ## @table @asis ## @item 1 ## if the algorithm converged -## (size of the simplex is smaller than @code{@var{options}.TolX} @strong{AND} -## the step in the function value between iterations is smaller than -## @code{@var{options}.TolFun}). +## (size of the simplex is smaller than @code{TolX} @strong{AND} the step in +## function value between iterations is smaller than @code{TolFun}). ## ## @item 0 ## if the maximum number of iterations or the maximum number of function @@ -60,10 +74,11 @@ ## if the iteration is stopped by the @qcode{"OutputFcn"}. ## @end table ## -## The fourth return value is a structure @var{output} with the fields, -## @code{funcCount} containing the number of function calls to @var{fun}, -## @code{iterations} containing the number of iteration steps, -## @code{algorithm} with the name of the search algorithm (always: +## The fourth output is a structure @var{output} containing runtime +## about the algorithm. Fields in the structure are @code{funcCount} +## containing the number of function calls to @var{fun}, @code{iterations} +## containing the number of iteration steps, @code{algorithm} with the name of +## the search algorithm (always: ## @nospell{@qcode{"Nelder-Mead simplex direct search"}}), and @code{message} ## with the exit message. ## @@ -72,6 +87,9 @@ ## @example ## fminsearch (@@(x) (x(1)-5).^2+(x(2)-8).^4, [0;0]) ## @end example +## +## Note: If you need to find the minimum of a single variable function it is +## probably better to use @code{fminbnd}. ## @seealso{fminbnd, fminunc, optimset} ## @end deftypefn @@ -85,9 +103,9 @@ ## Get default options if requested. if (nargin == 1 && ischar (fun) && strcmp (fun, "defaults")) x = optimset ("Display", "notify", "FunValCheck", "off", - "MaxFunEvals", 400, "MaxIter", 400, + "MaxFunEvals", [], "MaxIter", [], "OutputFcn", [], - "TolFun", 1e-7, "TolX", 1e-4); + "TolFun", 1e-4, "TolX", 1e-4); return; endif @@ -154,13 +172,13 @@ stopit(1) = tol = optimget (options, "TolX", 1e-4); ## Tolerance for cgce test based on step in function value. - tol_f = optimget (options, "TolFun", 1e-7); + tol_f = optimget (options, "TolFun", 1e-4); ## Max number of function evaluations. - stopit(2) = optimget (options, "MaxFunEvals", length (x) * 200); + stopit(2) = optimget (options, "MaxFunEvals", 200 * length (x)); ## Max number of iterations - maxiter = optimget (options, "MaxIter", length (x) * 200); + maxiter = optimget (options, "MaxIter", 200 * length (x)); ## Default target for function values. stopit(3) = Inf; # FIXME: expose this parameter to the outside @@ -269,7 +287,7 @@ k += 1; if (k > maxiter) - msg = "Exceeded maximum iterations...quitting\n"; + msg = "Exceeded maximum iterations\n"; break; endif @@ -293,14 +311,15 @@ ## Stopping Test 1 - f reached target value? if (fmax >= stopit(3)) msg = "Exceeded target...quitting\n"; - ## FIXME: Add docu when stopit(3) gets exposed to the outside + ## FIXME: Add documentation when stopit(3) gets exposed to the outside exitflag = -1; break; endif ## Stopping Test 2 - too many f-evals? if (nf >= stopit(2)) - msg = "Max no. of function evaluations exceeded...quitting\n"; + msg = "Exceeded maximum number of function evaluations\n"; + exitflag = 0; break; endif @@ -309,8 +328,8 @@ size_simplex = norm (V(:,2:n+1)-v1(:,ones (1,n)),1) / max (1, norm (v1,1)); step_f = max (abs (f(1) - f(2:n+1))); if (size_simplex <= tol && step_f <= tol_f ) - msg = sprintf (["Simplex size %9.4e <= %9.4e and ", ... - "step in function value %9.4e <= %9.4e...quitting\n"], ... + msg = sprintf (["Algorithm converged. Simplex size %9.4e <= %9.4e ", ... + "and step in function value %9.4e <= %9.4e\n"], ... size_simplex, tol, step_f, tol_f); exitflag = 1; break; @@ -490,4 +509,3 @@ ## Test input validation %!error fminsearch () %!error fminsearch (1) -