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intfminbnd

Solves a multi-variable optimization problem on a bounded interval

Calling Sequence

xopt = intfminbnd(f,intcon,x1,x2)
xopt = intfminbnd(f,intcon,x1,x2,options)
[xopt,fopt] = intfminbnd(.....)
[xopt,fopt,exitflag]= intfminbnd(.....)
[xopt,fopt,exitflag,output]=intfminbnd(.....)
[xopt,fopt,exitflag,gradient,hessian]=intfminbnd(.....)

Input Parameters

f :

A function, representing the objective function of the problem.

:

A vector, containing the lower bound of the variables of size (1 X n) or (n X 1) where n is number of variables. If it is empty it means that the lower bound is .

:

A vector, containing the upper bound of the variables of size (1 X n) or (n X 1) or (0 X 0) where n is the number of variables. If it is empty it means that the upper bound is .

intcon :

A vector of integers, representing the variables that are constrained to be integers.

options :

A list, containing the options for user to specify. See below for details.

Outputs

xopt :

A vector of doubles, containing the computed solution of the optimization problem.

fopt :

A double, containing the the function value at x.

exitflag :

An integer, containing the flag which denotes the reason for termination of algorithm. See below for details.

gradient :

A vector of doubles, containing the objective's gradient of the solution.

hessian :

A matrix of doubles, containing the Lagrangian's hessian of the solution.

Description

Search the minimum of a multi-variable function on bounded interval specified by : Find the minimum of f(x) such that

intfminbnd calls Bonmin, which is an optimization library written in C++, to solve the bound optimization problem.

Options

The options allow the user to set various parameters of the Optimization problem. The syntax for the options is given by:

options= list("IntegerTolerance", [---], "MaxNodes",[---], "MaxIter", [---], "AllowableGap",[---] "CpuTime", [---],"gradobj", "off", "hessian", "off" );

The default values for the various items are given as:

options = list('integertolerance',1d-06,'maxnodes',2147483647,'cputime',1d10,'allowablegap',0,'maxiter',2147483647,'gradobj',"off",'hessian',"off")

The exitflag allows the user to know the status of the optimization which is returned by Bonmin. The values it can take and what they indicate is described below:

For more details on exitflag, see the Bonmin documentation which can be found on http://www.coin-or.org/Bonmin

A few examples displaying the various functionalities of intfminbnd have been provided below. You will find a series of problems and the appropriate code snippets to solve them.

Example

We start with a simple objective function. Find x in R^6 such that it minimizes:

//Example 1:
//Objective function to be minimised
function y=f(x)
y=0
for i =1:6
y=y+sin(x(i));
end
endfunction
//Variable bounds
x1 = [-2, -2, -2, -2, -2, -2];
x2 = [2, 2, 2, 2, 2, 2];
intcon = [2 3 4]
[x,fval] =intfminbnd(f ,intcon, x1, x2)
// Press ENTER to continue

Example

Here we solve a bounded objective function in R^6. We use this function to illustrate how we can further enhance the functionality of fminbnd by setting input options. We can pre-define the gradient of the objective function and/or the hessian of the lagrange function and thereby improve the speed of computation. This is elaborated on in example 2. We also set solver parameters using the options. 
//Example 2:
//Objective function to be minimised
function y=f(x)
y=0
for i =1:6
y=y+sin(x(i));
end
endfunction
//Variable bounds
x1 = [-2, -2, -2, -2, -2, -2];
x2 = [2, 2, 2, 2, 2, 2];
intcon = [2 3 4]
//Options
options=list("MaxIter",[1500],"CpuTime", [100])
[x,fval] =intfminbnd(f ,intcon, x1, x2, options)
// Press ENTER to continue

Example

Unbounded Problems: Find x in R^2 such that it minimizes:

///Example 3: Unbounded problem:
//Objective function to be minimised
function y=f(x)
y=-((x(1)-1)^2+(x(2)-1)^2);
endfunction
//Variable bounds
x1 = [-%inf , -%inf];
x2 = [ %inf , %inf];
//Options
options=list("MaxIter",[1500],"CpuTime", [100]);
intcon = [1 2];
[x,fval,exitflag,output,lambda] =intfminbnd(f,intcon, x1, x2, options)

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