Matlab optimization-toolbox

Optimization Toolbox 6.0Solve standard and large-scale optimization problemsOptimization Toolbox™provides widely used algorithms for standard and large-scale optimization. Thesealgorithms solve constrained and unconstrained continuous and discrete problems. The toolbox includesfunctions for linear programming, quadratic programming, binary integer programming, nonlinear optimization,nonlinear least squares, systems of nonlinear equations, and multiobjective optimization. You can use them tofind optimal solutions, perform tradeoff analyses, balance multiple design alternatives, and incorporateoptimization methods into algorithms and models.Key Features▪Interactive tools for defining and solving optimization problems and monitoring solution progress▪Solvers for nonlinear and multiobjective optimization▪Solvers for nonlinear least-squares, data fitting, and nonlinear equations▪Methods for solving quadratic and linear programming problems▪Methods for solving binary integer programming problems▪Parallel computing support in selected constrained nonlinear solversFinding a local minimum of thepeaksfunction using a gradient-based optimization solver from Optimization Toolbox.1

A blurred image recovered using the large-scale linear least-squares algorithm.

Defining, Solving, and Assessing Optimization Problems

Optimization Toolbox includes the most widely used methods for performing minimization and maximization.The toolbox implements both standard and large-scale algorithms, enabling you to solve problems by exploitingtheir sparsity or structure. You can access toolbox functions and solver options with the Optimization Tool or atthe command line.

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An optimization routine running at the command line (left) that calls MATLAB files defining the objective function (topright) and constraint equations (bottom right).

The Optimization Tool simplifies common optimization tasks. It enables you to:▪Select a solver and define an optimization problem

▪Set and inspect optimization options and their default values for the selected solver▪Run problems and visualize intermediate and final results

▪View solver-specific documentation in the optional quick reference window

▪Import and export problem definitions, algorithm options, and results between theMATLAB®workspace andthe Optimization Tool

▪Automatically generate MATLAB code to capture work and automate tasks▪AccessGlobal Optimization ToolboxsolversNonlinear Programming

Optimization Toolbox provides widely used optimization algorithms for solving nonlinear programmingproblems inMATLAB. The toolbox includes solvers for unconstrained and constrained nonlinear optimizationand solvers forleast-squares optimization.Unconstrained Nonlinear Optimization

Optimization Toolbox uses three algorithms to solve unconstrained nonlinear minimization problems:▪TheQuasi-Newtonalgorithm uses a mixed quadratic and cubic line search procedure and the

Broyden-Fletcher-Goldfarb-Shanno (BFGS) formula for updating the approximation of the Hessian matrix.▪TheNelder-Meadalgorithm (or downhill simplex) is a direct-search algorithm that uses only function values(does not require derivatives) and handles nonsmooth objective functions.Global Optimization Toolboxprovides additional derivative-free optimization algorithms for nonlinear optimization.

▪Thetrust-regionalgorithm is used for unconstrained nonlinear problems and is especially useful forlarge-scale problems where sparsity or structure can be exploited.

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Unconstrained nonlinear programming used to search an engine performance map for peak efficiency.

Constrained Nonlinear Optimization

Constrained nonlinear optimization problems are composed of nonlinear objective functions and may be subjectto linear and nonlinear constraints. Optimization Toolbox uses four algorithms to solve these problems:▪Theinterior pointalgorithm is used for general nonlinear optimization. It is especially useful for large-scaleproblems that have sparsity or structure, and tolerates user-defined objective and constraint functionevaluation failures. It is based on a barrier function, and optionally keeps all iterates strictly feasible withrespect to bounds during the optimization run.

▪TheSQPalgorithm is used for general nonlinear optimization. It honors bounds at all iterations and toleratesuser-defined objective and constraint function evaluation failures.▪Theactive-setalgorithm is used for general nonlinear optimization.

▪Thetrust-region reflectivealgorithm is used for bound constrained problems or linear equalities only. It isespecially useful for large-scale problems.

The interior point and trust-region reflective algorithms enable you to estimate Hessians using differentapproaches.

For the interior point algorithm, you can estimate Hessians using:▪BFGS (dense)

▪Limited memory BFGS (for large-scale problems)▪Hessian-multiply function▪Actual Hessian (sparse or dense)

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▪Finite difference of gradients, without requiring knowledge of sparsity structureFor the trust-region reflective algorithm, you can use:

▪Finite difference of gradients, Hessian with known sparsity structure▪Actual Hessian (sparse or dense)▪Hessian-multiply function

Additionally, the interior point and trust-region reflective algorithms enable you to calculate Hessian-times-vectorproducts in a function without having to form the Hessian matrix explicitly.

Optimization Toolbox also includes an interface to Ziena Optimization’sKNITRO®libraries for solvingconstrained nonlinear optimization problems.

Constrained nonlinear programming used to design an optimal suspension system.

Multiobjective Optimization

Multiobjective optimization is concerned with the minimization of multiple objective functions that are subject toa set of constraints. Optimization Toolbox provides functions for solving two formulations of multiobjectiveoptimization problems:

▪Thegoal attainmentproblem involves reducing the value of a linear or nonlinear vector function to attainthe goal values given in a goal vector. The relative importance of the goals is indicated using a weight vector.The goal attainment problem may also be subject to linear and nonlinear constraints.

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▪Theminimaxproblem involves minimizing the worst-case value of a set of multivariate functions, possiblysubject to linear and nonlinear constraints.

Optimization Toolbox transforms both types of multiobjective problems into standard constrained optimizationproblems and then solves them using an active-set approach.

Global Optimization Toolboxprovides an additional multiobjective solver for nonsmooth problems.

Multiobjective optimization used to design a low-pass filter.

Nonlinear Least-Squares, Data Fitting, and Nonlinear Equations

Optimization Toolbox can solve linear and nonlinear least-squares problems, data fitting problems, and nonlinearequations.

Linear and Nonlinear Least-Squares Optimization

The toolbox uses two algorithms for solving constrained linear least-squares problems:

▪Themedium-scalealgorithm implements an active-set algorithm and is used to solve problems with boundsand linear inequalities or equalities.

▪Thelarge-scalealgorithm implements a trust-region reflective algorithm and is used to solve problems thathave only bound constraints.

The toolbox uses two algorithms for solving nonlinear least-squares problems:

▪Thetrust-region reflectivealgorithm implements the Levenberg-Marquardt algorithm using a trust-regionapproach. It is used for unconstrained and bound-constrained problems.

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▪TheLevenberg-Marquardtalgorithm implements a standard Levenberg-Marquardt method. It is used forunconstrained problems.

Fitting a transcendental equation using nonlinear least squares.

Data Fitting

The toolbox provides a specialized interface for data fitting problems in which you want to find the member of afamily of nonlinear functions that best fits a set of data points. The toolbox uses the same algorithms for datafitting problems that it uses for nonlinear least-squares problems.

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Fitting a nonlinear exponential equation using least-squares curve fitting.

Nonlinear Equation Solving

Optimization Toolbox implements a dogleg trust-region algorithm for solving a system of nonlinear equationswhere there are as many equations as unknowns. The toolbox can also solve this problem using the trust-regionreflective and Levenberg-Marquardt algorithms.

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Solving ann-dimensional Rosenbrock function using the nonlinear equation solver.

Linear Programming

Engineers and scientists use mathematical modeling to describe the behavior of systems under study.Systemrequirements, when defined mathematically as constraints on the decision variables input into the mathematicalsystem model, form a mathematical program.This mathematical program, or optimization problem description,can then be solved using optimization techniques.Linear programming is one class of mathematical programswhere the objective and constraints consist of linear relationships.

Linear programming problems consist of a linear expression for the objective function and linear equality andinequality constraints. Optimization Toolbox includes three algorithms used to solve this type of problem:▪Theinterior pointalgorithm is based on a primal-dual predictor-corrector algorithm used for solving linearprogramming problems. Interior point is especially useful for large-scale problems that have structure or canbe defined using sparse matrices.

▪Theactive-setalgorithm minimizes the objective at each iteration over the active set (a subset of theconstraints that are locally active) until it reaches a solution.

▪Thesimplexalgorithm is a systematic procedure for generating and testing candidate vertex solutions to alinear program. The simplex algorithm is the most widely used algorithm for linear programming.

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Linear programming used in the design of a plant for generating steam and electrical power.

Binary Integer Programming

Binary integer programming problems involve minimizing a linear objective function subject to linear equalityand inequality constraints. Each variable in the optimal solution must be either a 0 or a 1.Optimization Toolbox solves these problems using a branch-and-bound algorithm that:▪Searches for a feasible binary integer solution

▪Updates the best binary point found as the search tree grows

▪Verifies that no better solution is possible by solving a series of linear programming relaxation problems

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Binary integer programming used to solve an investment problem.

Quadratic Programming

Quadratic programming problems involve minimizing a multivariate quadratic function subject to bounds, linearequality, and inequality constraints. Optimization Toolbox includes three algorithms for solving quadraticprograms:

▪Theinterior-point-convexalgorithm solves convex problems with any combination of constraints.▪Thetrust-region-reflectivealgorithm solves bound constrained problems or linear equality constrainedproblems.

▪Theactive-setalgorithm solves problems with any combination of constraints.

Both the interior-point-convex and trust-region-reflective algorithms are large-scale, meaning they can handlelarge, sparse problems. Furthermore, the interior-point-convex algorithm has optimized internal linear algebraroutines and a new presolve module that can improve speed, numerical stability, and the detection of infeasibility.

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Quadratic programming used to perform a returns-based style analysis for three mutual funds.

Solving Optimization Problems Using Parallel Computing

Optimization Toolbox can be used withParallel Computing Toolbox™to solve problems that benefit from parallelcomputation. You can use parallel computing to decrease time to solution by enabling built-in parallel computingsupport or by defining a custom parallel computing implementation of an optimization problem.

Built-in support for parallel computing in Optimization Toolbox enables you to accelerate the gradient estimationstep in select solvers for constrained nonlinear optimization problems and multiobjective goal attainment andminimax problems.

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Accelerating time to solution for an electrostatics problem using the built-in support for parallel computing in a

nonlinear programming solver. The built-in functionality is enabled by specifying theUseParalleloption (left) for theobjective (middle right) and constraint (bottom right) functions, with the solution shown in the top right.

You can customize a parallel computing implementation by explicitly defining the optimization problem to useparallel computing functionality. You can define either an objective function or a constraint function to useparallel computing, enabling you to decrease the time required to evaluate the objective or constraint.

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Accelerating time to solution (top right) for a suspension system design (bottom left and bottom right) subject touncertainty by customizing the objective function with a single line change in code (top left).

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