optim

Arguments

costf

external, i.e Scilab function list or string (costf is the cost function, that is, a Scilab script, a Fortran 77 routine or a C function.

x0

real vector (initial value of variable to be minimized).

f

value of optimal cost (f=costf(xopt))

xopt

best value of x found.

<contr>

keyword representing the following sequence of arguments: 'b',binf,bsup with binf and bsup are real vectors with same dimension as x0. binf and bsup are lower and upper bounds on x.

algo

• 'qn' : Quasi-Newton with BFGS (default solver)

• 'gc' : limited memory BFGS

• 'nd' : non-differentiable.

  Note that the conjugate gradient solver does not accept bounds on x.

df0

real scalar. Guessed decreasing of f at first iteration. (df0=1 is the default value).

mem :

integer, number of variables used to approximate the Hessian. Default value is 10. This feature is available for the Gradient-Conjugate algorithm "gc" without constraints and the non-smooth algorithm "nd" without constraints.

<stop>

keyword representing the sequence of optional parameters controlling the convergence of the algorithm. 'ar',nap [,iter [,epsg [,epsf [,epsx]]]]

"ar"

reserved keyword for stopping rule selection defined as follows:

nap

maximum number of calls to costf allowed (default is 100).

iter

maximum number of iterations allowed (default is 100).

epsg

threshold on gradient norm (default is 0).

epsf

threshold controlling decreasing of f (default is 0).

epsx

threshold controlling variation of x (default is 0). This vector (possibly matrix) of same size as x0 can be used to scale x.

<params>

keyword representing the method to initialize the arguments ti, td passed to the objective function, provided as a C or Fortran routine. This option has no meaning when the cost function is a Scilab script. <params> can be set to only one of the following values.

• "in"

  That mode allows to allocate memory in the internal Scilab workspace so that the objective function can get arrays with the required size, but without directly allocating the memory. "in" stands for "initialization". In that mode, before the value and derivative of the objective function is to be computed, there is a dialog between the optim Scilab primitive and the objective function. In this dialog, the objective function is called two times, with particular values of the "ind" parameter. The first time, ind is set to 10 and the objective function is expected to set the nizs, nrzs and ndzs integer parameters of the "nird" common.

  common /nird/ nizs,nrzs,ndzs

  This allows Scilab to allocate memory inside its internal workspace. The second time the objective function is called, ind is set to 11 and the objective function is expected to set the ti, tr and tz arrays. After this initialization phase, each time it is called, the objective function is ensured that the ti, tr and tz arrays which are passed to it have the values that have been previously initialized.

• "ti",valti

  In this mode, valti is expected to be a Scilab vector variable containing integers. Whenever the objective function is called, the ti array it receives contains the values of the Scilab variable.

• "td", valtd

  In this mode, valtd is expected to be a Scilab vector variable containing double values. Whenever the objective function is called, the td array it receives contains the values of the Scilab variable.

• "ti",valti,"td",valtd

  This mode combines the two previous.

The ti, td arrays may be used so that the objective function can be computed. For example, if the objective function is a polynomial, the ti array may may be used to store the coefficients of that polynomial.

Users should choose carefully between the "in" mode and the "ti" and "td" mode, depending on the fact that the arrays are Scilab variables or not. If the data is available as Scilab variables, then the "ti", valti, "td", valtd mode should be chosen. If the data is available directly from the objective function, the "in" mode should be chosen. Notice that there is no "tr" mode, since, in Scilab, all real values are of "double" type.

If neither the "in" mode, nor the "ti", "td" mode is chosen, that is, if <params> is not present as an option of the optim primitive, the user may should not assume that the ti,tr and td arrays can be used : reading or writing the arrays may generate unpredictable results.

"imp=iflag"

named argument used to set the trace mode. The possible values for iflag are 0,1,2 and >2. Use this option with caution : most of these reports are written on the Scilab standard output.

• iflag=0: nothing (except errors) is reported (this is the default),

• iflag=1: initial and final reports,

• iflag=2: adds a report per iteration,

• iflag>2: add reports on linear search.

• iflag<0: calls the cost function with ind=1 every -imp iterations.

gradopt

gradient of costf at xopt

work

working array for hot restart for quasi-Newton method. This array is automatically initialized by optim when optim is invoked. It can be used as input parameter to speed-up the calculations.

Description

Non-linear optimization routine for programs without constraints or with bound constraints:

min costf(x) w.r.t x.

costf is an "external" i.e a Scilab function, a list or a string giving the name of a C or Fortran routine (see "external"). This external must return the value f of the cost function at the point x and the gradient g of the cost function at the point x.

- Scilab function case

If costf is a Scilab function, the calling sequence for costf must be:

[f,g,ind]=costf(x,ind)

Here, costf is a function which returns f, value (real number) of cost function at x, and g, gradient vector of cost function at x. The variable ind is described below.

- List case

If costf is a list, it should be of the form: list(real_costf, arg1,...,argn) with real_costf a Scilab function with calling sequence : [f,g,ind]=costf(x,ind,arg1,... argn). The x, f, g, ind arguments have the same meaning that above. argi arguments can be used to pass function parameters.

- String case

If costf is a character string, it refers to the name of a C or Fortran routine which must be linked to Scilab

* Fortran case

The interface of the Fortran subroutine computing the objective must be :

subroutine costf(ind,n,x,f,g,ti,tr,td)

with the following declarations:

integer ind,n ti(*)
double precision x(n),f,g(n),td(*)
real tr(*)

The argument ind is described below.

If ind = 2, 3 or 4, the inputs of the routine are : x, ind, n, ti, tr,td.

If ind = 2, 3 or 4, the outputs of the routine are : f and g.

* C case

The interface of the C function computing the objective must be :

void costf(int *ind, int *n, double *x, double *f, double *g, int *ti, float *tr, double *td)

The argument ind is described below.

The inputs and outputs of the function are the same as in the fortran case.

The ind input argument is a message sent from the solver to the cost function so that the cost function knows what to compute.

• If ind=2, costf must provide f.

• If ind=3, costf must provide g.

• If ind=4, costf must provide f and g.

• If ind=1, costf can print messages.

When the imp option is set to a negative integer value, say m for example, the cost function is called back every -m iterations, with the ind=1 parameter. This can be used to print messages, fill a log file or creating an interactive plot. See below for sample uses of this feature.

On output, ind<0 means that f cannot be evaluated at x and ind=0 interrupts the optimization.

Termination criteria

Each algorithm has its own termination criteria, which may use the parameters given by the user, that is nap, iter, epsg, epsf and epsx. Not all the parameters are taken into account. In the table below, we present the specific termination parameters which are taken into account by each algorithm. The unconstrained solver is identified by "UNC" while the bound constrained solver is identified by "BND". An empty entry means that the parameter is ignored by the algorithm.

Example: Scilab function

The following is an example with a Scilab function. Notice, for simplifications reasons, the Scilab function "cost" of the following example computes the objective function f and its derivative no matter of the value of ind. This allows to keep the example simple. In practical situations though, the computation of "f" and "g" may raise performances issues so that a direct optimization may be to use the value of "ind" to compute "f" and "g" only when needed.

// External function written in Scilab
function [f, g, ind]=cost(x, ind)
  xref=[1;2;3];
  f=0.5*norm(x-xref)^2;
  g=x-xref;
endfunction

// Simplest call
x0=[1;-1;1];
[f,xopt]=optim(cost,x0)

// By conjugate gradient - you can use 'qn', 'gc' or 'nd'
[f,xopt,gopt]=optim(cost,x0,'gc')

//Seen as non differentiable
[f,xopt,gopt]=optim(cost,x0,'nd')

// Upper and lower bounds on x
[f,xopt,gopt]=optim(cost,'b',[-1;0;2],[0.5;1;4],x0)

// Upper and lower bounds on x and setting up the algorithm to 'gc'
[f,xopt,gopt]=optim(cost,'b',[-1;0;2],[0.5;1;4],x0,'gc')

// Bound on the number of call to the objective function
[f,xopt,gopt]=optim(cost,'b',[-1;0;2],[0.5;1;4],x0,'gc','ar',3)

// Set max number of call to the objective function (3)
// Set max number of iterations (100)
// Set stopping threshold on the value of f (1e-6), 
// on the value of the norm of the gradient of the objective function (1e-6)
// on the improvement on the parameters x_opt (1e-6;1e-6;1e-6)
[f,xopt,gopt]=optim(cost,'b',[-1;0;2],[0.5;1;4],x0,'gc','ar',3,100,1e-6,1e-6,[1e-3;1e-3;1e-3])

// Additionnal messages are printed in the console.
[f,xopt]=optim(cost,x0,imp=3)

Example: C function

The following is an example with a C function, where a C source code is written into a file, dynamically compiled and loaded into Scilab, and then used by the "optim" solver. The interface of the "rosenc" function is fixed, even if the arguments are not really used in the cost function. This is because the underlying optimization solvers must assume that the objective function has a known, constant interface. In the following example, the arrays ti and tr are not used, only the array "td" is used, as a parameter of the Rosenbrock function. Notice that the content of the arrays ti and td are the same that the content of the Scilab variable, as expected.

// External function written in C (C compiler required)
// write down the C code (Rosenbrock problem)
C=['#include <math.h>'
   'double sq(double x)'
   '{ return x*x;}'
   'void rosenc(int *ind, int *n, double *x, double *f, double *g, '
   '                                int *ti, float *tr, double *td)'
   '{'
   '  double p;'
   '  int i;'
   '  p=td[0];'
   '  if (*ind==2||*ind==4) {'
   '    *f=1.0;'
   '    for (i=1;i<*n;i++)'
   '      *f+=p*sq(x[i]-sq(x[i-1]))+sq(1.0-x[i]);'
   '  }'
   '  if (*ind==3||*ind==4) {'
   '    g[0]=-4.0*p*(x[1]-sq(x[0]))*x[0];'
   '    for (i=1;i<*n-1;i++)'
   '      g[i]=2.0*p*(x[i]-sq(x[i-1]))-4.0*p*(x[i+1]-sq(x[i]))*x[i]-2.0*(1.0-x[i]);'
   '    g[*n-1]=2.0*p*(x[*n-1]-sq(x[*n-2]))-2.0*(1.0-x[*n-1]);'
   '  }'
   '}'];
cd TMPDIR;
mputl(C,TMPDIR+'/rosenc.c')

// compile the C code
l=ilib_for_link('rosenc','rosenc.c',[],'c');

// incremental linking
link(l,'rosenc','c')

//solve the problem
x0=[40;10;50];
p=100;
[f,xo,go]=optim('rosenc',x0,'td',p)

Example: Fortran function

The following is an example with a Fortran function.

// External function written in Fortran (Fortran compiler required)
// write down the Fortran  code (Rosenbrock problem)
F=[ '      subroutine rosenf(ind, n, x, f, g, ti, tr, td)'
    '      integer ind,n,ti(*)'
    '      double precision x(n),f,g(n),td(*)'
    '      real tr(*)'
    'c'
    '      double precision y,p'
    '      p=td(1)'
    '      if (ind.eq.2.or.ind.eq.4) then'
    '        f=1.0d0'
    '        do i=2,n'
    '          f=f+p*(x(i)-x(i-1)**2)**2+(1.0d0-x(i))**2'
    '        enddo'
    '      endif'
    '      if (ind.eq.3.or.ind.eq.4) then'
    '        g(1)=-4.0d0*p*(x(2)-x(1)**2)*x(1)'
    '        if(n.gt.2) then'
    '          do i=2,n-1'
    '            g(i)=2.0d0*p*(x(i)-x(i-1)**2)-4.0d0*p*(x(i+1)-x(i)**2)*x(i)'
    '     &           -2.0d0*(1.0d0-x(i))'
    '          enddo'
    '        endif'
    '        g(n)=2.0d0*p*(x(n)-x(n-1)**2)-2.0d0*(1.0d0-x(n))'
    '      endif'
    '      return'
    '      end'];
cd TMPDIR;
mputl(F,TMPDIR+'/rosenf.f')

// compile the Fortran code
l=ilib_for_link('rosenf','rosenf.f',[],'f');

// incremental linking
link(l,'rosenf','f')

//solve the problem
x0=[40;10;50];
p=100;
[f,xo,go]=optim('rosenf',x0,'td',p)

Example: Fortran function with initialization

The following is an example with a Fortran function in which the "in" option is used to allocate memory inside the Scilab environment. In this mode, there is a dialog between Scilab and the objective function. The goal of this dialog is to initialize the parameters of the objective function. Each part of this dialog is based on a specific value of the "ind" parameter.

At the beginning, Scilab calls the objective function, with the ind parameter equals to 10. This tells the objective function to initialize the sizes of the arrays it needs by setting the nizs, nrzs and ndzs integer parameters of the "nird" common. Then the objective function returns. At this point, Scilab creates internal variables and allocate memory for the variable izs, rzs and dzs. Scilab calls the objective function back again, this time with ind equals to 11. This tells the objective function to initialize the arrays izs, rzs and dzs. When the objective function has done so, it returns. Then Scilab enters in the real optimization mode and calls the optimization solver the user requested. Whenever the objective function is called, the izs, rzs and dzs arrays have the values that have been previously initialized.

// 
// Define a fortran source code and compile it (fortran compiler required)
//
fortransource=['      subroutine rosenf(ind,n,x,f,g,izs,rzs,dzs)'
               'C     -------------------------------------------'
               'c     Example of cost function given by a subroutine'
               'c     if n<=2 returns ind=0'
               'c     f.bonnans, oct 86'
               '      implicit double precision (a-h,o-z)'
               '      real rzs(1)'
               '      double precision dzs(*)'
               '      dimension x(n),g(n),izs(*)'
               '      common/nird/nizs,nrzs,ndzs'
               '      if (n.lt.3) then'
               '        ind=0'
               '        return'
               '      endif'
               '      if(ind.eq.10) then'
               '         nizs=2'
               '         nrzs=1'
               '         ndzs=2'
               '         return'
               '      endif'
               '      if(ind.eq.11) then'
               '         izs(1)=5'
               '         izs(2)=10'
               '         dzs(2)=100.0d+0'
               '         return'
               '      endif'
               '      if(ind.eq.2)go to 5'
               '      if(ind.eq.3)go to 20'
               '      if(ind.eq.4)go to 5'
               '      ind=-1'
               '      return'
               '5     f=1.0d+0'
               '      do 10 i=2,n'
               '        im1=i-1'
               '10      f=f + dzs(2)*(x(i)-x(im1)**2)**2 + (1.0d+0-x(i))**2'
               '      if(ind.eq.2)return'
               '20    g(1)=-4.0d+0*dzs(2)*(x(2)-x(1)**2)*x(1)'
               '      nm1=n-1'
               '      do 30 i=2,nm1'
               '        im1=i-1'
               '        ip1=i+1'
               '        g(i)=2.0d+0*dzs(2)*(x(i)-x(im1)**2)'
               '30      g(i)=g(i) -4.0d+0*dzs(2)*(x(ip1)-x(i)**2)*x(i) - '
               '     &        2.0d+0*(1.0d+0-x(i))'
               '      g(n)=2.0d+0*dzs(2)*(x(n)-x(nm1)**2) - 2.0d+0*(1.0d+0-x(n))'
               '      return'
               '      end'];
cd TMPDIR;
mputl(fortransource,TMPDIR+'/rosenf.f')

// compile the C code
libpath=ilib_for_link('rosenf','rosenf.f',[],'f');

// incremental linking
linkid=link(libpath,'rosenf','f');

x0=1.2*ones(1,5);
//
// Solve the problem
//
[f,x,g]=optim('rosenf',x0,'in');

Example: Fortran function with initialization on Windows with Intel Fortran Compiler

Under the Windows operating system with Intel Fortran Compiler, one must carefully design the fortran source code so that the dynamic link works properly. On Scilab's side, the optimization component is dynamically linked and the symbol "nird" is exported out of the optimization dll. On the cost function's side, which is also dynamically linked, the "nird" common must be imported in the cost function dll.

The following example is a re-writing of the previous example, with special attention for the Windows operating system with Intel Fortran compiler as example. In that case, we introduce additionnal compiling instructions, which allows the compiler to import the "nird" symbol.

fortransource=['subroutine rosenf(ind,n,x,f,g,izs,rzs,dzs)'
               'cDEC$ IF DEFINED (FORDLL)'
               'cDEC$ ATTRIBUTES DLLIMPORT:: /nird/'
               'cDEC$ ENDIF'
               'C     -------------------------------------------'
               'c     Example of cost function given by a subroutine'
               'c     if n<=2 returns ind=0'
               'c     f.bonnans, oct 86'
               '      implicit double precision (a-h,o-z)'
[etc...]

Example: Logging features

The imp flag may take negative integer values, say k. In that case, the cost function is called once every -k iterations. This allows to draw the function value or write a log file.

In the following example, we solve the Rosenbrock test case. For each iteration of the algorithm, we print the value of x, f and g.

function [f, g, ind]=cost(x, ind)
  xref=[1;2;3];
  if ( ind == 1 | ind == 4 ) then
    f=0.5*norm(x-xref)^2;
  end
  if ( ind == 1 | ind == 4 ) then
    g=x-xref;
  end
  if ( ind == 1 ) then
    mprintf("===========\n")
    mprintf("x = %s\n", strcat(string(x)," "))
    mprintf("f = %e\n", f)
    g=x-xref;
    mprintf("g = %s\n", strcat(string(g)," "))
  end
endfunction
x0=[1;-1;1];
[f,xopt]=optim(cost,x0,imp=-1)

The previous script produces the following output.

===========
x = 1 -1 1
f = 6.500000e+000
g = 0 -3 -2
===========
x = 1 0 1.6666667
f = 2.888889e+000
g = 0 -2 -1.3333333
===========
x = 1 2 3
f = 9.860761e-031
g = 0 -4.441D-16 1.332D-15
===========
x = 1 2 3
f = 0.000000e+000
g = 0 0 0

In the following example, we solve the Rosenbrock test case. For each iteration of the algorithm, we plot the current value of x into a 2D graph containing the contours of Rosenbrock's function. This allows to see the progress of the algorithm while the algorithm is performing. We could as well write the value of x, f and g into a log file if needed.

// 1. Define rosenbrock for contouring
function f=rosenbrockC(x1, x2)
  x = [x1 x2];
  f = 100.0 *(x(2)-x(1)^2)^2 + (1-x(1))^2;
endfunction
x0 = [-1.2 1.0];
xopt = [1.0 1.0];
// 2. Draw the contour of Rosenbrock's function
xdata = linspace(-2,2,100);
ydata = linspace(-2,2,100);
contour ( xdata , ydata , rosenbrockC , [1 10 100 500 1000])
plot(x0(1) , x0(2) , "b.")
plot(xopt(1) , xopt(2) , "r*")
// 3. Define Rosenbrock for optimization
function [f, g, ind]=rosenbrock(x, ind)
  if ((ind == 1) | (ind == 4)) then
    f = 100.0 *(x(2)-x(1)^2)^2 + (1-x(1))^2;
  end
  if ((ind == 1) | (ind == 4)) then
    g(1) = - 400. * ( x(2) - x(1)**2 ) * x(1) -2. * ( 1. - x(1) )
    g(2) = 200. * ( x(2) - x(1)**2 )
  end
  if (ind == 1) then
    plot ( x(1) , x(2) , "g." )
  end
endfunction
// 4. Plot the optimization process, during optimization
[ fopt , xopt ] = optim ( rosenbrock , x0 , imp = -1)

Example: Optimizing with numerical derivatives

It is possible to optimize a problem without an explicit knowledge of the derivative of the cost function. For this purpose, we can use the numdiff or derivative function to compute a numerical derivative of the cost function.

In the following example, we use the numdiff function to solve Rosenbrock's problem.

function f=rosenbrock(x)
  f = 100.0 *(x(2)-x(1)^2)^2 + (1-x(1))^2;
endfunction
function [f, g, ind]=rosenbrockCost(x, ind)
  if ((ind == 1) | (ind == 4)) then
    f = rosenbrock ( x );
  end
  if ((ind == 1) | (ind == 4)) then
    g= numdiff ( rosenbrock , x );
  end
endfunction
x0 = [-1.2 1.0];
[ fopt , xopt ] = optim ( rosenbrockCost , x0 )

In the following example, we use the derivative function to solve Rosenbrock's problem. Given that the step computation strategy is not the same in numdiff and derivative, this might lead to improved results.

function f=rosenbrock(x)
  f = 100.0 *(x(2)-x(1)^2)^2 + (1-x(1))^2;
endfunction
function [f, g, ind]=rosenbrockCost2(x, ind)
  if ((ind == 1) | (ind == 4)) then
    f = rosenbrock ( x );
  end
  if ((ind == 1) | (ind == 4)) then
    g= derivative ( rosenbrock , x.' , order = 4 );
  end
endfunction
x0 = [-1.2 1.0];
[ fopt , xopt ] = optim ( rosenbrockCost2 , x0 )

Example: Counting function evaluations and number of iterations

The imp option can take negative values. If the imp is equal to m where m is a negative integer, then the cost function is evaluated every -m iterations, with the ind input argument equal to 1. The following example uses this feature to compute the number of iterations. The global variable mydata is used to store the number of function evaluations as well as the number of iterations.

xref=[1;2;3];
x0=[1;-1;1];
global _MYDATA_
_MYDATA_ = tlist ( ["T_MYDATA","niter","nfevals"])
_MYDATA_.niter = 0
_MYDATA_.nfevals = 0
function [f, g, ind]=cost(x, ind)
  global _MYDATA_
  disp(ind)
  if ( ind == 1 )
    _MYDATA_.niter = _MYDATA_.niter + 1
  end
  _MYDATA_.nfevals = _MYDATA_.nfevals + 1
  f=0.5*norm(x-xref)^2;
  g=x-xref;
endfunction
[f,xopt]=optim(cost,x0,imp=-1)
mprintf ( "Number of function evaluations:%d\n",_MYDATA_.nfevals)
mprintf ( "Number of iterations:%d\n",_MYDATA_.niter)

While the previous example perfectly works, there is a risk that the same variable _MYDATA_ is used by some internal function used by optim. In this case, the value may be wrong. This is why a sufficiently weird variable name has been used.

Example : Passing extra parameters

In most practical situations, the cost function depends on extra parameters which are required to evaluate the cost function. There are several methods to achieve this goal.

In the following example, the cost function uses 4 parameters a, b, c and d. We define the cost function with additionnal input arguments, which are declared after the index argument. Then we pass a list as the first input argument of the optim solver. The first element of the list is the cost function. The additionnal variables are directly passed to the cost function.

function [f, g, ind]=costfunction(x, ind, a, b, c, d)
    f = a * ( x(1) - c ) ^2 + b * ( x(2) - d )^2
    g(1) = 2 * a * ( x(1) - c )
    g(2) = 2 * b * ( x(2) - d )
endfunction
x0 = [1 1];
a = 1.0;
b = 2.0;
c = 3.0;
d = 4.0;
costf = list ( costfunction , a , b , c, d );
[ fopt , xopt ] = optim ( costf , x0 , imp = 2 )

In complex cases, the cost function may have so many parameters, that having a function which takes all arguments as inputs is not convenient. For example, consider the situation where the cost function needs 12 parameters. Then, designing a function with 14 input arguments (x, index and the 12 parameters) is difficult to manage. Instead, we can use a more complex data structure to store our data. In the following example, we use a tlist to store the 4 input arguments. This method can easily be expanded to an arbitrary number of parameters.

function [f, g, ind]=costfunction(x, ind, parameters)
    // Get the parameters
    a = parameters.a
    b = parameters.b
    c = parameters.c
    d = parameters.d
    f = a * ( x(1) - c ) ^2 + b * ( x(2) - d )^2
    g(1) = 2 * a * ( x(1) - c )
    g(2) = 2 * b * ( x(2) - d )
endfunction
x0 = [1 1];
a = 1.0;
b = 2.0;
c = 3.0;
d = 4.0;
// Store the parameters
parameters = tlist ( [
  "T_MYPARAMS"  
  "a"
  "b"
  "c"
  "d"
  ]);
parameters.a = a;
parameters.b = b;
parameters.c = c;
parameters.d = d;
costf = list ( costfunction , parameters );
[ fopt , xopt ] = optim ( costf , x0 , imp = 2 )

In the following example, the parameters are defined before the optimizer is called. They are directly used in the cost function.

// The example NOT to follow
function [f, g, ind]=costfunction(x, ind)
    f = a * ( x(1) - c ) ^2 + b * ( x(2) - d )^2
    g(1) = 2 * a * ( x(1) - c )
    g(2) = 2 * b * ( x(2) - d )
endfunction
x0 = [1 1];
a = 1.0;
b = 2.0;
c = 3.0;
d = 4.0;
[ fopt , xopt ] = optim ( costfunction , x0 , imp = 2 )

While the previous example perfectly works, there is a risk that the same variables are used by some internal function used by optim. In this case, the value of the parameters are not what is expected and the optimization can fail or, worse, give a wrong result. It is also difficult to manage such a function, which requires that all the parameters are defined in the calling context.

In the following example, we define the cost function with the classical header. Inside the function definition, we declare that the parameters a, b, c and d are global variables. Then we declare and set the global variables.

// Another example NOT to follow
function [f, g, ind]=costfunction(x, ind)
    global a b c d 
    f = a * ( x(1) - c ) ^2 + b * ( x(2) - d )^2
    g(1) = 2 * a * ( x(1) - c )
    g(2) = 2 * b * ( x(2) - d )
endfunction
x0 = [1 1];
global a b c d 
a = 1.0;
b = 2.0;
c = 3.0;
d = 4.0;
[ fopt , xopt ] = optim ( costfunction , x0 , imp = 2 )

While the previous example perfectly works, there is a risk that the same variables are used by some internal function used by optim. In this case, the value of the parameters are not what is expected and the optimization can fail or, worse, give a wrong result.

Example : Checking that derivatives are correct

Many optimization problem can be avoided if the derivatives are computed correctly. One common reason for failure in the step-length procedure is an error in the calculation of the cost function and its gradient. Incorrect calculation of derivatives is by far the most common user error.

In the following example, we give a false implementation of Rosenbrock's gradient. In order to check the computation of the derivatives, we use the derivative function. We define the simplified function, which delegates the computation of f to the rosenbrock function. The simplified function is passed as an input argument of the derivative function.

function [f, g, index]=rosenbrock(x, index)
    f = 100.0 *(x(2)-x(1)^2)^2 + (1-x(1))^2;
    // Exact : 
    g(1) = - 400. * ( x(2) - x(1)**2 ) * x(1) -2. * ( 1. - x(1) )
    // Wrong :
    g(1) = - 1200. * ( x(2) - x(1)**2 ) * x(1) -2. * ( 1. - x(1) )
    g(2) = 200. * ( x(2) - x(1)**2 )
endfunction
function f=simplified(x)
  index = 1;
  [ f , g , index ] = rosenbrock ( x , index )
endfunction
x0 = [-1.2 1];
index = 1;
[ f , g , index ] = rosenbrock ( x0 , index );
gnd = derivative ( simplified , x0.' );
mprintf ( "Exact derivative:[%s]\n" , strcat ( string(g) , " " ));
mprintf ( "Numerical derivative:[%s]\n" , strcat ( string(gnd) , " " ));

The previous script produces the following output. Obviously, the difference between the two gradient is enormous, which shows that the wrong formula has been used in the gradient.

Exact derivative:[-638 -88]
Numerical derivative:[-215.6 -88]

See Also

• external — Scilab Object, external function or routine
• qpsolve — linear quadratic programming solver
• datafit — Parameter identification based on measured data
• leastsq — Solves non-linear least squares problems
• numdiff — numerical gradient estimation
• derivative — approximate derivatives of a function
• NDcost — generic external for optim computing gradient using finite differences

References

The following is a map from the various options to the underlying solvers, with some comments about the algorithm, when available.

"qn" without constraints

n1qn1 : a quasi-Newton method with a Wolfe-type line search

"qn" with bounds constraints

qnbd : a quasi-Newton method with projection

RR-0242 - A variant of a projected variable metric method for bound constrained optimization problems, Bonnans Frederic, Rapport de recherche de l'INRIA - Rocquencourt, Octobre 1983

"gc" without constraints

n1qn3 : a conjugate gradient method with BFGS.

"gc" with bounds constraints

gcbd : a BFGS-type method with limited memory and projection

"nd" without constraints

n1fc1 : a bundle method

"nd" with bounds constraints

not available

Author

The Modulopt library : J.Frederic Bonnans, Jean-Charles Gilbert, Claude Lemarechal

The interfaces to the Modulopt library : J.Frederic Bonnans

Copyright (C) 2008 - 2009 - INRIA - Michael Baudin

Copyright (C) 2010 - 2011 - DIGITEO - Michael Baudin