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[Octave-cvsupdate] SF.net SVN: octave:[7597] trunk/octave-forge/main/optim
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From: <i7...@us...> - 2010-08-29 09:35:22
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Revision: 7597
http://octave.svn.sourceforge.net/octave/?rev=7597&view=rev
Author: i7tiol
Date: 2010-08-29 09:35:15 +0000 (Sun, 29 Aug 2010)
Log Message:
-----------
- optim_problems.m: added unconstrained problems schittkowski_281, _289,
and _391, added feasible initial values to schittkowski_373.
- wrap_f_dfdp.m: new function, for passing objective function and
jacobian to some optimizers.
- leasqr.m: bugfix in passing bounds in internal wrappers (corrected a
former fix in revision 7426).
- bumped version number to 1.0.14 (because 1.0.13 had been announced as
a package, though it was never released)
Revision Links:
--------------
http://octave.svn.sourceforge.net/octave/?rev=7426&view=rev
Modified Paths:
--------------
trunk/octave-forge/main/optim/DESCRIPTION
trunk/octave-forge/main/optim/inst/leasqr.m
trunk/octave-forge/main/optim/inst/optim_problems.m
Added Paths:
-----------
trunk/octave-forge/main/optim/inst/wrap_f_dfdp.m
Modified: trunk/octave-forge/main/optim/DESCRIPTION
===================================================================
--- trunk/octave-forge/main/optim/DESCRIPTION 2010-08-29 01:23:30 UTC (rev 7596)
+++ trunk/octave-forge/main/optim/DESCRIPTION 2010-08-29 09:35:15 UTC (rev 7597)
@@ -1,6 +1,6 @@
Name: Optim
-Version: 1.0.13
-Date: 2009-09-21
+Version: 1.0.14
+Date: 2010-08-29
Author: Various Authors
Maintainer: The Octave Community
Title: Optimzation.
Modified: trunk/octave-forge/main/optim/inst/leasqr.m
===================================================================
--- trunk/octave-forge/main/optim/inst/leasqr.m 2010-08-29 01:23:30 UTC (rev 7596)
+++ trunk/octave-forge/main/optim/inst/leasqr.m 2010-08-29 09:35:15 UTC (rev 7597)
@@ -354,7 +354,10 @@
end
if (strcmp (func2str (df_gencstr), 'dcdp'))
df_gencstr = @ (f, p, dp, fun, idx, db) ...
- df_gencstr (f, p, dp, fun, db);
+ df_gencstr (f, p, dp, fun, db{:});
+ else
+ df_gencstr = @ (f, p, dp, fun, idx, db) ...
+ df_gencstr (f, p, dp, fun, idx, db{:});
end
end
[rm, cm] = size (mc);
@@ -511,7 +514,7 @@
df_gencstr (f(nidxh(idx(nidxh))), p, dp, ...
@ (tp) f_gencstr (tp, idx(nidxh)), ...
idx(nidxh), ...
- dfdp_bounds{:}));
+ dfdp_bounds));
if (any (~isinf (maxstep)))
warning ('setting both a maximum fractional step change of parameters and general constraints may result in inefficiency and failure');
end
Modified: trunk/octave-forge/main/optim/inst/optim_problems.m
===================================================================
--- trunk/octave-forge/main/optim/inst/optim_problems.m 2010-08-29 01:23:30 UTC (rev 7596)
+++ trunk/octave-forge/main/optim/inst/optim_problems.m 2010-08-29 09:35:15 UTC (rev 7597)
@@ -123,6 +123,10 @@
%% numbered from 201 to 395 and may appear here under the fields
%% .curve, .general, or .zero.
%%
+ %% .general.schittkowski_281: 10 parameters, unconstrained.
+ %%
+ %% .general.schittkowski_289: 30 parameters, unconstrained.
+ %%
%% .general.schittkowski_327 and
%%
%% .curve.schittkowski_327: Two parameters, one general inequality
@@ -136,12 +140,27 @@
%% .general.schittkowski_372: 9 parameters, 12 general inequality
%% constraints, 6 bounds. Infeasible initial parameters
%% (.curve.schittkowski_372.init_p_f(1) provides a set of more or less
- %% feasible parameters. leasqr sticks at the (feasible) initial
+ %% feasible parameters). leasqr sticks at the (feasible) initial
%% values. sqp has no problems.
%%
%% .curve.schittkowski_373: 9 parameters, 6 equality constraints.
- %% Infeasible initial parameters.
+ %% Infeasible initial parameters (.curve.schittkowski_373.init_p_f(1)
+ %% provides a set of more or less feasible parameters). leasqr sticks
+ %% at the (feasible) initial values. sqp has no problems.
+ %%
+ %% .general.schittkowski_391: 30 parameters, unconstrained. The best
+ %% solution given in the publication seems not very good, obviously
+ %% the used routine had not managed to get very far from the starting
+ %% parameters; it has been replaced here by a better (Octaves
+ %% fminunc). The result still varies widely (without much changes in
+ %% objective function) with changes of starting values. Maybe not a
+ %% very good test problem, no well defined minimum ...
+ %% needed for some anonymous functions
+ if (exist ('ifelse') ~= 5)
+ ifelse = @ scalar_ifelse;
+ end
+
if (~exist ('OCTAVE_VERSION'))
NA = NaN;
end
@@ -379,6 +398,44 @@
-5.0039950796246986e+00, -7.9749636293721071e+00];
ret.curve.p_r.f = @ (x, p) f_r (x, p, hook);
+ ret.general.schittkowski_281.dfdp = ...
+ @ (p) schittkowski_281_dfdp (p);
+ ret.general.schittkowski_281.init_p = zeros (10, 1);
+ ret.general.schittkowski_281.result.p = ones (10, 1); % 'theoretically'
+ ret.general.schittkowski_281.result.obj = 0; % 'theoretically'
+ ret.general.schittkowski_281.strict_inequc.bounds = [];
+ ret.general.schittkowski_281.strict_inequc.linear = [];
+ ret.general.schittkowski_281.strict_inequc.general = [];
+ ret.general.schittkowski_281.non_strict_inequc.bounds = [];
+ ret.general.schittkowski_281.non_strict_inequc.linear = [];
+ ret.general.schittkowski_281.non_strict_inequc.general = [];
+ ret.general.schittkowski_281.equc.linear = [];
+ ret.general.schittkowski_281.equc.general = [];
+ ret.general.schittkowski_281.f = ...
+ @ (p) (sum (((1:10).') .^ 3 .* (p - 1) .^ 2)) ^ (1 / 3);
+
+ ret.general.schittkowski_289.dfdp = ...
+ @ (p) exp (- sum (p .^ 2) / 60) / 30 * p;
+ ret.general.schittkowski_289.init_p = [-1.03; 1.07; -1.10; 1.13; ...
+ -1.17; 1.20; -1.23; 1.27; ...
+ -1.30; 1.33; -1.37; 1.40; ...
+ -1.43; 1.47; -1.50; 1.53; ...
+ -1.57; 1.60; -1.63; 1.67; ...
+ -1.70; 1.73; -1.77; 1.80; ...
+ -1.83; 1.87; -1.90; 1.93; ...
+ -1.97; 2.00];
+ ret.general.schittkowski_289.result.p = zeros (30, 1); % 'theoretically'
+ ret.general.schittkowski_289.result.obj = 0; % 'theoretically'
+ ret.general.schittkowski_289.strict_inequc.bounds = [];
+ ret.general.schittkowski_289.strict_inequc.linear = [];
+ ret.general.schittkowski_289.strict_inequc.general = [];
+ ret.general.schittkowski_289.non_strict_inequc.bounds = [];
+ ret.general.schittkowski_289.non_strict_inequc.linear = [];
+ ret.general.schittkowski_289.non_strict_inequc.general = [];
+ ret.general.schittkowski_289.equc.linear = [];
+ ret.general.schittkowski_289.equc.general = [];
+ ret.general.schittkowski_289.f = @ (p) 1 - exp (- sum (p .^ 2) / 60);
+
ret.curve.schittkowski_327.dfdp = ...
@ (x, p) [1 + exp(-p(2) * (x - 8)), ...
(p(1) + .49) * (8 - x) .* exp (-p(2) * (x - 8))];
@@ -388,9 +445,9 @@
18; 18; 20; 20; 20; 22; 22; 22; 24; 24; 24; 26; 26; 26; 28; ...
28; 30; 30; 30; 32; 32; 34; 36; 36; 38; 38; 40; 42];
ret.curve.schittkowski_327.data.y= ...
- [.49; .49; .48; .47; .48; .47; .46; .46; .45; .43; .45; .43; \
- .43; .44; .43; .43; .46; .45; .42; .42; .43; .41; .41; .40; \
- .42; .40; .40; .41; .40; .41; .41; .40; .40; .40; .38; .41; \
+ [.49; .49; .48; .47; .48; .47; .46; .46; .45; .43; .45; .43; ...
+ .43; .44; .43; .43; .46; .45; .42; .42; .43; .41; .41; .40; ...
+ .42; .40; .40; .41; .40; .41; .41; .40; .40; .40; .38; .41; ...
.40; .40; .41; .38; .40; .40; .39; .39];
ret.curve.schittkowski_327.data.wt = [];
ret.curve.schittkowski_327.data.cov = [];
@@ -426,9 +483,9 @@
18; 18; 20; 20; 20; 22; 22; 22; 24; 24; 24; 26; 26; 26; 28; ...
28; 30; 30; 30; 32; 32; 34; 36; 36; 38; 38; 40; 42];
ret.general.schittkowski_327.data.y= ...
- [.49; .49; .48; .47; .48; .47; .46; .46; .45; .43; .45; .43; \
- .43; .44; .43; .43; .46; .45; .42; .42; .43; .41; .41; .40; \
- .42; .40; .40; .41; .40; .41; .41; .40; .40; .40; .38; .41; \
+ [.49; .49; .48; .47; .48; .47; .46; .46; .45; .43; .45; .43; ...
+ .43; .44; .43; .43; .46; .45; .42; .42; .43; .41; .41; .40; ...
+ .42; .40; .40; .41; .40; .41; .41; .40; .40; .40; .38; .41; ...
.40; .40; .41; .38; .40; .40; .39; .39];
x = ret.general.schittkowski_327.data.x;
y = ret.general.schittkowski_327.data.y;
@@ -488,7 +545,7 @@
ret.curve.schittkowski_372.data.y= zeros (6, 1);
ret.curve.schittkowski_372.data.wt = [];
ret.curve.schittkowski_372.data.cov = [];
- %% recomputed with sqp (e.g. not with curve fitting)
+ %% recomputed with sqp (i.e. not with curve fitting)
ret.curve.schittkowski_372.result.p = [5.2330557804078126e+02; ...
-1.5694790476454301e+02; ...
-1.9966450018535931e-01; ...
@@ -536,6 +593,17 @@
%% not feasible
ret.curve.schittkowski_373.init_p = [300; -100; -.1997; -127; ...
-151; 379; 421; 460; 426];
+ %% feasible
+ ret.curve.schittkowski_373.init_p_f = @ (id) ...
+ ifelse (id == 0, 1, [2.5722721227695763e+02; ...
+ -1.5126681606092043e+02; ...
+ 8.3101871447778766e-02; ...
+ -3.0390506000425454e+01; ...
+ 1.1661334225083069e+01; ...
+ 2.6097719374430665e+02; ...
+ 3.2814725183082305e+02; ...
+ 3.9686840023267564e+02; ...
+ 3.9796353824451995e+02]);
ret.curve.schittkowski_373.data.x = (1:6).'; % any different numbers
ret.curve.schittkowski_373.data.y= zeros (6, 1);
ret.curve.schittkowski_373.data.wt = [];
@@ -616,6 +684,51 @@
ret.general.schittkowski_372.equc.general = [];
ret.general.schittkowski_372.f = @ (p) sumsq (p(4:9));
+ ret.general.schittkowski_391.dfdp = [];
+ ret.general.schittkowski_391.init_p = ...
+ -2.8742711 * alpha_391 (zeros (30, 1), 1:30);
+ %% computed with fminunc (Octave)
+ ret.general.schittkowski_391.result.p = [-1.1986682e+18; ...
+ -1.1474574e+07; ...
+ -1.3715802e+07; ...
+ -1.0772255e+07; ...
+ -1.0634232e+07; ...
+ -1.0622915e+07; ...
+ -8.8775399e+06; ...
+ -8.8201496e+06; ...
+ -9.7729975e+06; ...
+ -1.0431808e+07; ...
+ -1.0415089e+07; ...
+ -1.0350400e+07; ...
+ -1.0325094e+07; ...
+ -1.0278561e+07; ...
+ -1.0275751e+07; ...
+ -1.0276546e+07; ...
+ -1.0292584e+07; ...
+ -1.0289350e+07; ...
+ -1.0192566e+07; ...
+ -1.0058577e+07; ...
+ -1.0096341e+07; ...
+ -1.0242386e+07; ...
+ -1.0615831e+07; ...
+ -1.1142096e+07; ...
+ -1.1617283e+07; ...
+ -1.2005738e+07; ...
+ -1.2282117e+07; ...
+ -1.2301260e+07; ...
+ -1.2051365e+07; ...
+ -1.1704693e+07];
+ ret.general.schittkowski_391.result.obj = -5.1615468e+20;
+ ret.general.schittkowski_391.strict_inequc.bounds = [];
+ ret.general.schittkowski_391.strict_inequc.linear = [];
+ ret.general.schittkowski_391.strict_inequc.general = [];
+ ret.general.schittkowski_391.non_strict_inequc.bounds = [];
+ ret.general.schittkowski_391.non_strict_inequc.linear = [];
+ ret.general.schittkowski_391.non_strict_inequc.general = [];
+ ret.general.schittkowski_391.equc.linear = [];
+ ret.general.schittkowski_391.equc.general = [];
+ ret.general.schittkowski_391.f = @ (p) sum (alpha_391 (p, 1:30));
+
function ret = f_1 (x, p)
ret = p(1) + x(:, 1) ./ (p(2) * x(:, 2) + p(3) * x(:, 3));
@@ -717,6 +830,30 @@
ret(idx) = - ((p(4) + p(1)) * p(2)) ./ ...
((p(5) * dls(idx)) ./ (1 - tf(idx) .^ 2) + p(1)) + p(2);
+ function ret = alpha_391 (p, id)
+
+ %% for .general.schittkowski_391; id is a numeric index(-vector)
+ %% into p
+
+ p = p(:);
+ n = size (p, 1);
+
+ nid = length (id);
+ id = reshape (id, 1, nid);
+
+ v = sqrt (repmat (p .^ 2, 1, nid) + 1 ./ ((1:n).') * id);
+
+ log_v = log (v);
+
+ ret = 420 * p(id) + (id(:) - 15) .^ 3 + ...
+ sum (v .* (sin (log_v) .^ 5 + cos (log_v) .^ 5)).';
+
+ function ret = schittkowski_281_dfdp (p)
+
+ tp = (sum (((1:10).') .^ 3 .* (p - 1) .^ 2)) ^ (- 2 / 3) / 3;
+
+ ret = 2 * ((1:10).') .^ 3 .* (p - 1) * tp;
+
function state = fixed_step_rk4 (t, x0, step, f)
%% minimalistic fourth order ODE-solver, as said to be a popular one
@@ -1104,6 +1241,15 @@
ret = ret(idx);
end
+ function fval = scalar_ifelse (cond, tval, fval)
+
+ %% needed for some anonymous functions, builtin ifelse only available
+ %% in Octave > 3.2; we need only the scalar case here
+
+ if (cond)
+ fval = tval;
+ end
+
%!demo
%! p_t = optim_problems ().curve.p_1;
%! global verbose;
Added: trunk/octave-forge/main/optim/inst/wrap_f_dfdp.m
===================================================================
--- trunk/octave-forge/main/optim/inst/wrap_f_dfdp.m (rev 0)
+++ trunk/octave-forge/main/optim/inst/wrap_f_dfdp.m 2010-08-29 09:35:15 UTC (rev 7597)
@@ -0,0 +1,43 @@
+%% Copyright (C) 2010 Olaf Till <ola...@un...>
+%%
+%% This program is free software; you can redistribute it and/or modify
+%% it under the terms of the GNU General Public License as published by
+%% the Free Software Foundation; either version 3 of the License, or (at
+%% your option) any later version.
+%%
+%% This program is distributed in the hope that it will be useful, but
+%% WITHOUT ANY WARRANTY; without even the implied warranty of
+%% MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
+%% General Public License for more details.
+%%
+%% You should have received a copy of the GNU General Public License
+%% along with this program; If not, see <http://www.gnu.org/licenses/>.
+
+function [ret1, ret2] = wrap_f_dfdp (f, dfdp, varargin)
+
+ %% [ret1, ret2] = wrap_f_dfdp (f, dfdp, varargin)
+ %%
+ %% f and dftp should be the objective function (or "model function" in
+ %% curve fitting) and its jacobian, respectively, of an optimization
+ %% problem. ret1: f (varagin{:}), ret2: dfdp (varargin{:}). ret2 is
+ %% only computed if more than one output argument is given. This
+ %% manner of calling f and dfdp is needed by some optimization
+ %% functions.
+
+ if (nargin < 3)
+ print_usage ();
+ end
+
+ if (ischar (f))
+ f = str2func (f);
+ end
+
+ if (ischar (dfdp))
+ dfdp = str2func (dfdp);
+ end
+
+ ret1 = f (varargin{:});
+
+ if (nargout > 1)
+ ret2 = dfdp (varargin{:});
+ end
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