I am not good at Matlab at all. I am trying to find minimum of function witjh constrains.
I am trying to use eample line by line as it is in documentation (https://www.mathworks.com/help/optim/ug/optimization-toolbox-tutorial.html - part Constrained Optimization Example: User-Supplied Gradients)
I have tried following code:
f = #(x,y) x.*exp(-x.^2-y.^2)+(x.^2+y.^2)/20;
g = #(x,y) x.*y/2+(x-2).^2+(y-2).^2/2-4;
x0 = [2 ,0];
options = optimoptions('fmincon','Algorithm','interior-point','Display','iter');
gfun = #(x,y) deal(g(x,y),[]);
[x,fval,exitflag,output] = fmincon(f,x0,[],[],[],[],[],[],gfun,options);
And this is the console output:
>> Untitled4
Not enough input arguments.
Error in Untitled4>#(x,y)x.*exp(-x.^2-y.^2)+(x.^2+y.^2)/20 (line 1)
f = #(x,y) x.*exp(-x.^2-y.^2)+(x.^2+y.^2)/20;
Error in fmincon (line 552)
initVals.f = feval(funfcn{3},X,varargin{:});
Error in Untitled4 (line 7)
[x,fval,exitflag,output] = fmincon(f,x0,[],[],[],[],[],[],gfun,options);
Caused by:
Failure in initial objective function evaluation. FMINCON cannot continue.
I don't understand - what is wrong with my function?
you missed the part in the documentation defining fun,
and you miss-defined gfun.
(it is important that both are functions of a single variable, x)
Here is working code:
f = #(x,y) x.*exp(-x.^2-y.^2)+(x.^2+y.^2)/20;
g = #(x,y) x.*y/2+(x-2).^2+(y-2).^2/2-4;
x0 = [2 0];
options = optimoptions('fmincon','Algorithm','interior-point','Display','iter');
fun = #(x) f(x(1),x(2));
gfun = #(x) deal(g(x(1),x(2)),[]);
[x,fval,exitflag,output] = fmincon(fun,x0,[],[],[],[],[],[],gfun,options);
Related
I'm trying to solve a symbolic optimization problem using PSO optimizer in MATLAB. The variables r x a c n theta z are symbolic and CD is calculated by integrating r.
The CD is the objective function with free variables a,n, theta and lb and ub are bounds. Full code is as follows:
syms r x a c n theta z
assume(n,'positive');
D=0.24;
L=2;
f=L/D;
b=.8;
a0=0.02;
db=0.05;
V=1;
Re=(V*(D/2))/0.000001;
Cf=(0.075/(((log10(Re))-2)^2))+0.00025;
% Define r(x)
c=L-a-b-a0;
r1=0.5*D*(2*x/a)^(1/n);
I1=simplify(int(2*pi*r1,x,a0,a));
r2=D/2;
I2=simplify(int(2*pi*r2,x,a,a+b));
r3=(0.5*D)-((((3*D)/(2*(c)^2))-(tan(theta)/c))*(x-a-b)^2)+(((D/c^3 ...
(tand(theta)/c^2))*(x-a-b)^3);
I3=simplify(int(2*pi*r3,x,a+b,L));
A=simplify(I1+I2+I3);
Sn=pi*(D^2/4);
Cdstar=Cf*(1+(60*f^-3 )+(0.0025*f))*(A/(L^2));
Cdb=0.029*((db/D)^3)*(Cdstar^-0.5)*(Sn/(L^2));
CD=simplify(Cdstar+Cdb);
%optimization problem
objective=matlabFunction(CD,'Vars',[a,n,theta])
nVar=3;
lb = [deg2rad(5),0.25,a0];
ub = [deg2rad(60),5,L/2];
options =
optimoptions('particleswarm','SwarmSize',100,'HybridFcn',#fmincon);
[z,fval,exitflag,output] = particleswarm(objective,nVar,lb,ub,options)
And this is the error I get:
#(a,n,theta)pi.*4.404634153141517e-4+pi.*1.0./sqrt(pi.4.404634153141517e-4-pi.(a.*5.0-6.0).*1.0./(a.5.0e+1-5.9e+1).^3.(a.*2.32335e+6+tan((theta.*pi)./1.8e+2).*4.779e+6-tan(theta).*6.2658e+6-a.^2.*tan(theta).*2.655125e+7+a.^3.*tan(theta).*1.4875e+7-a.^4.*tan(theta).*3.125e+6-a.*tan((theta.*pi)./1.8e+2).*1.59975e+7+a.*tan(theta).*2.1063e+7+a.^2.*tan((theta.*pi)./1.8e+2).*2.008125e+7-a.^3.*tan((theta.*pi)./1.8e+2).*1.1203125e+7+a.^4.*tan((theta.*pi)./1.8e+2).*2.34375e+6-a.^2.*1.98e+6+a.^3.*5.625e+5-9.08811e+5).*1.223509486983755e-5-(n.pi.((a.*2.5e+1).^(-1.0./n)-2.0.^(1.0./n+1.0).*a.*2.5e+1).*1.101158538285379e-5)./(n+1.0)).9.440104166666668e-7-pi.(a.*5.0-6.0).*1.0./(a.5.0e+1-5.9e+1).^3.(a.*2.32335e+6+tan((theta.*pi)./1.8e+2).*4.779e+6-tan(theta).*6.2658e+6-a.^2.*tan(theta).*2.655125e+7+a.^3.*tan(theta).*1.4875e+7-a.^4.*tan(theta).*3.125e+6-a.*tan((theta.*pi)./1.8e+2).*1.59975e+7+a.*tan(theta).*2.1063e+7+a.^2.*tan((theta.*pi)./1.8e+2).*2.008125e+7-a.^3.*tan((theta.*pi)./1.8e+2).*1.1203125e+7+a.^4.*tan((theta.*pi)./1.8e+2).*2.34375e+6-a.^2.*1.98e+6+a.^3.*5.625e+5-9.08811e+5).*1.223509486983755e-5-(n.pi.((a.*2.5e+1).^(-1.0./n)-2.0.^(1.0./n+1.0).*a.*2.5e+1).*1.101158538285379e-5)./(n+1.0)
Not enough input arguments.
Error in
symengine>#(a,n,theta)pi.*4.404634153141517e-4+pi.*1.0./sqrt(pi.4.404634153141517e-4-pi.(a.*5.0-6.0).*1.0./(a.5.0e+1-5.9e+1).^3.(a.*2.32335e+6+tan((theta.*pi)./1.8e+2).*4.779e+6-tan(theta).*6.2658e+6-a.^2.*tan(theta).*2.655125e+7+a.^3.*tan(theta).*1.4875e+7-a.^4.*tan(theta).*3.125e+6-a.*tan((theta.*pi)./1.8e+2).*1.59975e+7+a.*tan(theta).*2.1063e+7+a.^2.*tan((theta.*pi)./1.8e+2).*2.008125e+7-a.^3.*tan((theta.*pi)./1.8e+2).*1.1203125e+7+a.^4.*tan((theta.*pi)./1.8e+2).*2.34375e+6-a.^2.*1.98e+6+a.^3.*5.625e+5-9.08811e+5).*1.223509486983755e-5-(n.pi.((a.*2.5e+1).^(-1.0./n)-2.0.^(1.0./n+1.0).*a.*2.5e+1).*1.101158538285379e-5)./(n+1.0)).9.440104166666668e-7-pi.(a.*5.0-6.0).*1.0./(a.5.0e+1-5.9e+1).^3.(a.*2.32335e+6+tan((theta.*pi)./1.8e+2).*4.779e+6-tan(theta).*6.2658e+6-a.^2.*tan(theta).*2.655125e+7+a.^3.*tan(theta).*1.4875e+7-a.^4.*tan(theta).*3.125e+6-a.*tan((theta.*pi)./1.8e+2).*1.59975e+7+a.*tan(theta).*2.1063e+7+a.^2.*tan((theta.*pi)./1.8e+2).*2.008125e+7-a.^3.*tan((theta.*pi)./1.8e+2).*1.1203125e+7+a.^4.*tan((theta.*pi)./1.8e+2).*2.34375e+6-a.^2.*1.98e+6+a.^3.*5.625e+5-9.08811e+5).*1.223509486983755e-5-(n.pi.((a.*2.5e+1).^(-1.0./n)-2.0.^(1.0./n+1.0).*a.*2.5e+1).*1.101158538285379e-5)./(n+1.0)
Error in particleswarm>makeState (line 694)
firstFval = objFcn(state.Positions(1,:));
Error in particleswarm>pswcore (line 169) state =
makeState(nvars,lbMatrix,ubMatrix,objFcn,options);
Error in particleswarm (line 151) [x,fval,exitFlag,output] =
pswcore(objFcn,nvars,lbRow,ubRow,output,options);
Error in MYRING_SYMS_optimisation_K (line 56) [z,fval,exitflag,output]
= particleswarm(objective,nVar,lb,ub,options)
Caused by:
Failure in initial objective function evaluation. PARTICLESWARM cannot continue.
The fun takes only one argument, which is a vector with nvars elements. From particleswarm doc:
x = particleswarm(fun,nvars) attempts to find a vector x that achieves a local minimum of fun. nvars is the dimension (number of design variables) of fun.
So you need to declare a new objective function that only takes 1 argument:
[z,fval,exitflag,output] = particleswarm( ...
#(x) objective(x(1), x(2), x(3)), ...
nVar,lb,ub,options)
I am trying to solve the following ODE:
function [eta, sol] = compressible_similarity_wo
global Gamm Ma Pr omega;
Gamm = 1.4;
Ma = 2;
Pr = 0.7;
omega=0.76;
global eta_max_ode;
eta_max_ode = 20;
opt = optimset('Display','off','TolFun',1E-20);
F = fsolve(#(F) eval_boundary(F),[0,0,0.4,1,0],opt);
[eta_ode, fg_ode] = solve_ode(F);
sol = [fg_ode];
eta = eta_ode;
end
function [eta_ode, fg_ode] = solve_ode(F)
global eta_max_ode
options = odeset('RelTol',1e-9,'AbsTol',1e-9);
[eta_ode, fg_ode] = ode45(#BLFunc,[0,eta_max_ode],F,options);
end
function [g] = eval_boundary(F)
% Get the solution to the ODE with inital condition F
[eta_ode, fg_ode] = solve_ode(F);
% Get the function values (for BCs) at the starting/end points
f_start = fg_ode(1,1); %f(0) = 0
df_start = fg_ode(1,2); %f'(0) = 0
df_end = fg_ode(end,2); %f'(inf) - 1 = 0
t_end = fg_ode(end,4); %T(inf) - 1 = 0
dt_start = fg_ode(1,5); %T'(0) = 0
% Evaluate the boundary function
g = [f_start
df_start
df_end - 1
t_end - 1
dt_start];
end
function [df] = BLFunc(f)
global Gamm Ma Pr omega;
df = zeros(5,1);
df(1) = f(2);
df(2) = f(3);
df(3) = -f(1)*f(3)/(f(4)^(omega-1))-(omega-1)*f(3)/f(4);
df(4) = f(5);
df(5) = -Pr*f(1)*f(5)/(f(4)^(omega-1)) - Pr*(Gamm - 1.0)*Ma*Ma*f(3)*f(3) - (omega-1)*f(5)/f(4);
end
but fsolve returns the following problem
Error using BLFunc
Too many input arguments.
Error in odearguments (line 90)
f0 = feval(ode,t0,y0,args{:}); % ODE15I sets args{1} to yp0.
Error in ode45 (line 115)
odearguments(FcnHandlesUsed, solver_name, ode, tspan, y0, options, varargin);
Error in solve_ode (line 5)
[eta_ode, fg_ode] = ode45(#BLFunc,[0,eta_max_ode],F,options);
Error in eval_boundary (line 3)
[eta_ode, fg_ode] = solve_ode(F);
Error in compressible_similarity_wo>#(F)eval_boundary(F) (line 15)
F = fsolve(#(F) eval_boundary(F),[0,0,0.4,1,0],opt);
Error in fsolve (line 230)
fuser = feval(funfcn{3},x,varargin{:});
Error in compressible_similarity_wo (line 15)
F = fsolve(#(F) eval_boundary(F),[0,0,0.4,1,0],opt);
Error in launch (line 3)
[eta, sol] = compressible_similarity_wo;
Caused by:
Failure in initial objective function evaluation. FSOLVE cannot continue.
Do you have an idea of what's going on?
I'll cite you the friendly manual page
The function dydt = odefun(t,y), for a scalar t and a column vector y, must return a column vector dydt of data type single or double that corresponds to f(t,y). odefun must accept both input arguments, t and y, even if one of the arguments is not used in the function.
That is, you simply need to change to
function [df] = BLFunc(t,f)
to get a result (no guarantee that it is THE result).
Try to replace BLFunc signature to
function [df] = BLFunc(t, f)
You need to provide odefun to ode45, which takes 2 arguments, as stated in documentation:
The function dydt = odefun(t,y), for a scalar t and a column vector y, must return a column vector dydt of data type single or double that corresponds to f(t,y). odefun must accept both input arguments, t and y, even if one of the arguments is not used in the function.
I am implementing the expression given in the image which is the log-likelihood for AR(p) model.
In this case, p=2. I am using fmincon as the optimization tool. I checked the documentation and other examples over internet regarding the syntax of this command. Still, I am unable to mitigate the problem. Can somebody please help in eliminating the problem?
The following is the error
Warning: Options LargeScale = 'off' and Algorithm = 'trust-region-reflective' conflict.
Ignoring Algorithm and running active-set algorithm. To run trust-region-reflective, set
LargeScale = 'on'. To run active-set without this warning, use Algorithm = 'active-set'.
> In fmincon at 456
In MLE_AR2 at 20
Error using ll_AR2 (line 6)
Not enough input arguments.
Error in fmincon (line 601)
initVals.f = feval(funfcn{3},X,varargin{:});
Error in MLE_AR2 (line 20)
[theta_hat,likelihood] =
fmincon(#ll_AR2,theta0,[],[],[],[],low_theta,up_theta,[],opts);
Caused by:
Failure in initial user-supplied objective function evaluation. FMINCON cannot
continue.
The vector of unknown parameters,
theta_hat = [c, theta0, theta1, theta2] where c = intercept in the original model which is zero ; theta0 = phi1 = 0.195 ; theta1 = -0.95; theta2 = variance of the noise sigma2_epsilon.
The CODE:
clc
clear all
global ERS
var_eps = 1;
epsilon = sqrt(var_eps)*randn(5000,1); % Gaussian signal exciting the AR model
theta0 = ones(4,1); %Initial values of the parameters
low_theta = zeros(4,1); %Lower bound of the parameters
up_theta = 100*ones(4,1); %upper bound of the parameters
opts=optimset('DerivativeCheck','off','Display','off','TolX',1e-6,'TolFun',1e-6,...
'Diagnostics','off','MaxIter', 200, 'LargeScale','off');
ERS(1) = 0.0;
ERS(2) = 0.0;
for t= 3:5000
ERS(t)= 0.1950*ERS(t-1) -0.9500*ERS(t-2)+ epsilon(t); %AR(2) model y
end
[theta_hat,likelihood,exit1] = fmincon(#ll_AR2,theta0,[],[],[],[],low_theta,up_theta,[],opts);
exit(1,1)=exit1;
format long;disp(num2str([theta_hat],5))
function L = ll_AR2(theta,Y)
rho0 = theta(1); %c
rho1 = theta(2); %phi1
rho2 = theta(3); %phi2
sigma2_epsilon = theta(4);
T= size(Y,1);
p=2;
mu_p = rho0./(1-rho1-rho2); %mean of Y for the first p samples
%changed sign of the log likelihood expression
cov_p = xcov(Y);
L1 = (Y(3:end) - rho0 - rho1.*Y(1:end-1) - rho2.*Y(1:end-2)).^2;
L = (p/2).*(log(2*pi)) + (p/2).*log(sigma2_epsilon) - 0.5*log(det(inv(cov_p))) + 0.5*(sigma2_epsilon^-1).*(Y(p) - mu_p)'.*inv(cov_p).*(Y(p) - mu_p)+...
(T-p).*0.5*log(2*pi) + 0.5*(T-p).*log(sigma2_epsilon) + 0.5*(sigma2_epsilon^-1).*L1;
L = sum(L);
end
You are trying to pass constant parameters to the objective function (Y) in addition to the optimization variables (theta).
The right way of doing so is using anonymous function:
Y = ...; %// define your parameter here
fmincon( #(theta) ll_AR2(theta, Y), theta0, [],[],[],[],low_theta,up_theta,[],opts);
Now the objective function, as far as fmincon concerns, depends only on theta.
For more information you can read about anonymous functions and passing const parameters.
I am using numerical integration in MATLAB, with one varibale to integrate over but the function also contains a variable number of terms depending on the dimension of my data. Right now this looks like the following for the 2-dimensional case:
for t = 1:T
fxt = #(u) exp(-0.5*(x(t,1)-theta*norminv(u,0,1)).^2) .* ...
exp(-0.5*(x(t,2) -theta*norminv(u,0,1)).^2);
f(t) = integral(fxt,1e-4,1-1e-4,'AbsTol',1e-3);
end
I would like to have this function flexible in the sense that there could be any number of data points in, each in the following term:
exp(-0.5*(x(t,i) -theta*norminv(u,0,1)).^2);
I hope this is understandable.
If x and u have a valid dimension match (vector-vector or array-scalar) for the subtraction, you can put the whole matrix x into the handle and pass it to the integral function using the name-parameter pair ('ArrayValued',true):
fxt = #(u) exp(-0.5*(x - theta*norminv(u,0,1)).^2) .* ...
exp(-0.5*(x - theta*norminv(u,0,1)).^2);
f = integral(fxt,1e-4,1-1e-4,'AbsTol',1e-3,'ArrayValued',true);
[Documentation]
You may need a loop if integral ever passes a vector u into the handle.
But in looking at how the integral function is written, the integration nodes are entered as scalars for array-valued functions, so the loop shouldn't be necessary unless some weird dimension-mismatch error is thrown.
Array-Valued Output
In response to the comments below, you could try this function handle:
fx = #(u,t,k) prod(exp(-0.5*(x(t,1:k)-theta*norminv(u,0,1)).^2),2);
Then your current loop would look like
fx = #(u,t,k) prod(exp(-0.5*(x(t,1:k)-theta*norminv(u,0,1)).^2),2);
k = 2;
for t = 1:T
f(t) = integral(#(u)fx(u,t,k),1e-4,1-1e-4,'AbsTol',1e-3,'ArrayValued',true);
end
The ArrayValued flag is needed since x and u will have a dimension mismatch.
In this form, another loop would be needed to sweep through the k indexes.
However, we can improve this function by skipping the loop altogether since each iterate of the loop is independent by using the ArrayValued mode:
fx = #(u,k) prod(exp(-0.5*(x(:,1:k)-theta*norminv(u,0,1)).^2),2);
k = 2;
f = integral(#(u)fx(u,k),1e-4,1-1e-4,'AbsTol',1e-3,'ArrayValued',true);
Vector-Valued Output
If ArrayValued is not desired, which may be the case if the integration requires a lot of subdivisions and a vector-valued u is preferable, you can also try a recursive version of the handle using cell arrays:
% x has size [T,K]
fx = cell(K,1);
fx{1} = #(u,t) exp(-0.5*(x(t,1) - theta*norminv(u,0,1)).^2);
for k = 2:K
fx{k} = #(u,t) fx{k-1}(u,t).*exp(-0.5*(x(t,k) - theta*norminv(u,0,1)).^2);
end
f(T) = 0;
k = 2;
for t = 1:T
f(t) = integral(#(u)fx{k}(u,t),1e-4,1-1e-4,'AbsTol',1e-3);
end
ThanksTroy but now I run into the follwing:
x = [0.3,0.8;1.5,-0.7];
T = size(x,1);
k = size(x,2);
theta= 1;
fx = #(u,t,k) prod(exp(-0.5*(x(t,1:k) - theta*norminv(u,0,1))^2));
for t = 1,T
f(t) = integral(#(u)fx(u,t,k),1e-4,1-1e-4,'AbsTol',1e-3);
end
Error using -
Matrix dimensions must agree.
Error in #(u,t,k)prod(exp(-0.5*(x(t,1:k)-theta*norminv(u,0,1))^2))
Error in #(u)fx(u,t,k)
Error in integralCalc/iterateScalarValued (line 314)
fx = FUN(t);
Error in integralCalc/vadapt (line 133)
[q,errbnd] = iterateScalarValued(u,tinterval,pathlen);
Error in integralCalc (line 76)
[q,errbnd] = vadapt(#AtoBInvTransform,interval);
Error in integral (line 89)
Q = integralCalc(fun,a,b,opstruct);
I am dealing with the following code:
function opemployment=eqns(unknown);
global kappa varphi lgamma beta r delta s x b e theta v;
h=unknown(1);
gamma=unknown(2);
opemployment(1)=(h^(gamma-1))*((1-kappa)*((lgamma*(varphi^beta))/(gamma*kappa*beta+1-kappa))*h^(gamma*beta-gamma)-(r+delta+s)*(s^(gamma-1))*x^(-gamma));
opemployment(2)=(1-kappa)*(b-e+(kappa/(1-kappa))*theta*v^(gamma-1));
and then call:
close all; clear all;
global kappa varphi lgamma beta r delta s x b e theta v;
kappa = 0.1;
varphi = 2;
lgamma = 3;
beta = 0.9;
r = 2;
delta = 2 ;
s = 3;
x = 5;
b = 4;
e =3;
theta = 3 ;
v = 2;
guess = [0.7,0.3];
sol=fsolve('eqns',guess)
Yet, I receive the following error:
'Error using feval
Undefined function 'eqns' for input arguments of type 'double'.
Error in fsolve (line 217)
fuser = feval(funfcn{3},x,varargin{:});
Caused by:
Failure in initial user-supplied objective function evaluation.
FSOLVE cannot continue.
I am a total MATLAB beginner and have no clue where the error lays.
You are not specifying the first parameter of fsolve correct. Taking a look at the documentation is always very useful when you're in doubt about how to call a function. For fsolve, it's here: http://www.mathworks.com/help/optim/ug/fsolve.html
In your case, for your fsolve statement, you must do this:
sol=fsolve(#eqns,guess)
fsolve expects a function handle to your function that you want to solve, not the actual name of the function itself.