matlab optimization toolbox

MATLAB Optimization Toolbox

Presented byChin Pei

February 28, 2003

Presentation Outline Introduction

Function Optimization Optimization Toolbox Routines / Algorithms available

Minimization Problems Unconstrained Constrained

Example The Algorithm Description

Multiobjective Optimization Optimal PID Control Example

Function Optimization Optimization concerns the minimization

or maximization of functions Standard Optimization Problem

IntroductionIntroduction Unconstrained MinimizationUnconstrained Minimization Constrained MinimizationConstrained Minimization

Multiobjective OptimizationMultiobjective Optimization ConclusionConclusion

~

~min

xf x

~

0jg x

~

0ih x

L Uk k kx x x

Equality ConstraintsSubject to:

Inequality Constraints

Side Constraints

Function Optimization

~

f xis the objective function, which measure and evaluate the performance of a system.In a standard problem, we are minimizing the function.For maximization, it is equivalent to minimization of the –ve of the objective function.

~xis a column vector of design variables, which canaffect the performance of the system.



Function Optimization

Constraints – Limitation to the design space.Can be linear or nonlinear, explicit or implicit functions

~

0jg x

~

0ih x

L Uk k kx x x

Equality Constraints

Inequality Constraints

Side Constraints



Most algorithm require less than!!!

Optimization Toolbox Is a collection of functions that extend the

capability of MATLAB. The toolbox includes routines for: Unconstrained optimization Constrained nonlinear optimization, including

goal attainment problems, minimax problems, and semi-infinite minimization problems

Quadratic and linear programming Nonlinear least squares and curve fitting Nonlinear systems of equations solving Constrained linear least squares Specialized algorithms for large scale problems



Minimization Algorithm



Minimization Algorithm (Cont.)



Equation Solving Algorithms



Least-Squares Algorithms



Implementing Opt. Toolbox Most of these optimization routines

require the definition of an M-file containing the function, f, to be minimized.

Maximization is achieved by supplying the routines with –f.

Optimization options passed to the routines change optimization parameters.

Default optimization parameters can be changed through an options structure.



Unconstrained Minimization

Consider the problem of finding a set of values [x1 x2]T that solves

IntroductionIntroduction Unconstrained Minimization Constrained MinimizationConstrained Minimization


1

~

2 21 2 1 2 2

~min 4 2 4 2 1x

xf x e x x x x x

1 2~

Tx x x

Steps

Create an M-file that returns the function value (Objective Function) Call it objfun.m

Then, invoke the unconstrained minimization routine Use fminunc



Step 1 – Obj. Function



function f = objfun(x)

f=exp(x(1))*(4*x(1)^2+2*x(2)^2+4*x(1)*x(2)+2*x(2)+1);

1 2~

Tx x x

Objective function

Step 2 – Invoke Routine



x0 = [-1,1];

options = optimset(‘LargeScale’,’off’);

[xmin,feval,exitflag,output]=

fminunc(‘objfun’,x0,options);

Output argumentsInput arguments

Starting with a guess

Optimization parameters settings

Results



xmin =

0.5000 -1.0000

feval =

1.3028e-010

exitflag =

1

output =

iterations: 7

funcCount: 40

stepsize: 1

firstorderopt: 8.1998e-004

algorithm: 'medium-scale: Quasi-Newton line search'

Minimum point of design variables

Objective function value

Exitflag tells if the algorithm is converged.If exitflag > 0, then local minimum is found

Some other information

More on fminunc – Input

[xmin,feval,exitflag,output,grad,hessian]=

fminunc(fun,x0,options,P1,P2,…)

fun: Return a function of objective function. x0: Starts with an initial guess. The guess must be a vector of

size of number of design variables. option: To set some of the optimization parameters. (More

after few slides) P1,P2,…: To pass additional parameters.



Ref. Manual: Pg. 5-5 to 5-9

More on fminunc – Output



[xmin,feval,exitflag,output,grad,hessian]=

fminunc(fun,x0,options,P1,P2,…)

xmin: Vector of the minimum point (optimal point). The size is the number of design variables.

feval: The objective function value of at the optimal point. exitflag: A value shows whether the optimization routine is

terminated successfully. (converged if >0) output: This structure gives more details about the

optimization grad: The gradient value at the optimal point. hessian: The hessian value of at the optimal pointRef. Manual: Pg. 5-5 to 5-9

Options Setting – optimset



Options =

optimset(‘param1’,value1, ‘param2’,value2,…)

The routines in Optimization Toolbox has a set of default optimization parameters.

However, the toolbox allows you to alter some of those parameters, for example: the tolerance, the step size, the gradient or hessian values, the max. number of iterations etc.

There are also a list of features available, for example: displaying the values at each iterations, compare the user supply gradient or hessian, etc.

You can also choose the algorithm you wish to use.


Options Setting (Cont.)

Options =




Type help optimset in command window, a list of options setting available will be displayed.

How to read? For example:

LargeScale - Use large-scale algorithm if possible [ {on} | off ]

The default is with { }

Parameter (param1)Value (value1)

Options Setting (Cont.)

LargeScale - Use large-scale algorithm if possible [ {on} | off ] Since the default is on, if we would like to turn off, we just type:

Options =

optimset(‘LargeScale’, ‘off’)

Options =




and pass to the input of fminunc.

Useful Option Settings

Display - Level of display [ off | iter | notify | final ]

MaxIter - Maximum number of iterations allowed [ positive integer ]

TolCon - Termination tolerance on the constraint violation [ positive scalar ]

TolFun - Termination tolerance on the function value [ positive scalar ]

TolX - Termination tolerance on X [ positive scalar ]




Highly recommended to use!!!

fminunc and fminsearch fminunc uses algorithm with

gradient and hessian information. Two modes:

Large-Scale: interior-reflective Newton Medium-Scale: quasi-Newton (BFGS)

Not preferred in solving highly discontinuous functions.

This function may only give local solutions.



fminunc and fminsearch fminsearch is generally less efficient than fminunc for problems of order greater than two. However, when the problem is highly discontinuous, fminsearch may be more robust.

This is a direct search method that does not use numerical or analytic gradients as in fminunc.

This function may only give local solutions.



Constrained Minimization

IntroductionIntroduction Unconstrained MinimizationUnconstrained Minimization Constrained Minimization


[xmin,feval,exitflag,output,lambda,grad,hessian] =

fmincon(fun,x0,A,B,Aeq,Beq,LB,UB,NONLCON,options,P1,P2,…)

Vector of LagrangeMultiplier at optimal point

Example



~

1 2 3~

minx

f x x x x

21 22 0x x

1 2 3

1 2 3

2 2 0

2 2 72

x x x

x x x

1 2 30 , , 30x x x

Subject to:

1 2 2 0,

1 2 2 72A B

0 30

0 , 30

0 30

LB UB

function f = myfun(x)

f=-x(1)*x(2)*x(3);

Example (Cont.)

21 22 0x x For

Create a function call nonlcon which returns 2 constraint vectors [C,Ceq]

function [C,Ceq]=nonlcon(x)

C=2*x(1)^2+x(2);Ceq=[];

Remember to return a nullMatrix if the constraint doesnot apply



Example (Cont.)

x0=[10;10;10];

A=[-1 -2 -2;1 2 2];

B=[0 72]';

LB = [0 0 0]';

UB = [30 30 30]';

[x,feval]=fmincon(@myfun,x0,A,B,[],[],LB,UB,@nonlcon)

1 2 2 0,

1 2 2 72A B

Initial guess (3 design variables)

CAREFUL!!!

fmincon(fun,x0,A,B,Aeq,Beq,LB,UB,NONLCON,options,P1,P2,…)



0 30

0 , 30

0 30

LB UB

Example (Cont.)Warning: Large-scale (trust region) method does not currently solve this type of problem, switching to medium-scale (line search).

> In D:\Programs\MATLAB6p1\toolbox\optim\fmincon.m at line 213

In D:\usr\CHINTANG\OptToolbox\min_con.m at line 6

Optimization terminated successfully:

Magnitude of directional derivative in search direction less than 2*options.TolFun and maximum constraint violation is less than options.TolCon

Active Constraints:

2

9

x =

0.00050378663220

0.00000000000000

30.00000000000000

feval =

-4.657237250542452e-035



21 22 0x x

1 2 3

1 2 3

2 2 0

2 2 72

x x x

x x x

1

2

3

0 30

0 30

0 30

x

x

x

Const. 1

Const. 2

Const. 3

Const. 4

Const. 5

Const. 6

Const. 7

Sequence: A,B,Aeq,Beq,LB,UB,C,Ceq

Const. 8

Const. 9

Multiobjective Optimization

Previous examples involved problems with a single objective function.

Now let us look at solving problem with multiobjective function by lsqnonlin.

Example is taken by designing an optimal PID controller for an plant.


Multiobjective Optimization ConclusionConclusion

Simulink Example



Goal: Optimize the control parameters in Simulink model optsim.mdl in order to minimize the error between the output and input.

Plant description:• Third order under-damped with actuator limits.• Actuation limits are a saturation limit and a slew rate limit.• Saturation limit cuts off input: +/- 2 units• Slew rate limit: 0.8 unit/sec

Simulink Example (Cont.)

Initial PID Controller Design



Solving Methodology

Design variables are the gains in PID controller (KP, KI and KD) .

Objective function is the error between the output and input.



Solving Methodology (Cont.)

Let pid = [Kp Ki Kd]T

Let also the step input is unity. F = yout - 1

Construct a function tracklsq for objective function.



Objective Function

function F = tracklsq(pid,a1,a2)

Kp = pid(1);

Ki = pid(2);

Kd = pid(3);

% Compute function value

opt = simset('solver','ode5','SrcWorkspace','Current');

[tout,xout,yout] = sim('optsim',[0 100],opt);

F = yout-1;



Getting the simulationdata from Simulink

The idea is perform nonlinear least squaresminimization of the errors from time 0 to 100at the time step of 1.So, there are 101 objective functions to minimize.

The lsqnonlin



[X,RESNORM,RESIDUAL,EXITFLAG,OUTPUT,LAMBDA,JACOBIAN]= LSQNONLIN(FUN,X0,LB,UB,OPTIONS,P1,P2,..)

Invoking the Routine

clear all

Optsim;

pid0 = [0.63 0.0504 1.9688];

a1 = 3; a2 = 43;

options = optimset('LargeScale','off','Display','iter','TolX',0.001,'TolFun',0.001);

pid = lsqnonlin(@tracklsq,pid0,[],[],options,a1,a2)

Kp = pid(1); Ki = pid(2); Kd = pid(3);



Results



Optimal gains

Results (Cont.)

Initial Design

Optimization Process Optimal Controller Result



Conclusion Easy to use! But, we do not know what is happening

behind the routine. Therefore, it is still important to understand the limitation of each routine.

Basic steps: Recognize the class of optimization problem Define the design variables Create objective function Recognize the constraints Start an initial guess Invoke suitable routine Analyze the results (it might not make sense)


Multiobjective OptimizationMultiobjective Optimization Conclusion

Thank You!

Questions & Suggestions?

matlab optimization toolbox

Documents

optimization routines

optimization options

optimization toolboxis

linear programmingnonlinear

squaresspecialized algorithms

minimax problems

design space

options structure