The goal in this problem is to minimize the nonlinear function

$$f(x)=1+{\displaystyle \sum _{i=1}^{n}{\left|\left(3-2{x}_{i}\right){x}_{i}-{x}_{i-1}-{x}_{i+1}+1\right|}^{p}}+{\displaystyle \sum _{i=1}^{n/2}{\left|{x}_{i}+{x}_{i+n/2}\right|}^{p}},$$

such that -10.0 ≤ *x _{i}* ≤ 10.0, where

The `tbroyfg.m`

file computes the function
value and gradient. This file is long and is not included here. You
can see the code for this function using the command

type tbroyfg

The sparsity pattern of the Hessian matrix has been predetermined
and stored in the file `tbroyhstr.mat`

. The sparsity
structure for the Hessian of this problem is banded, as you can see
in the following `spy`

plot.

load tbroyhstr spy(Hstr)

In this plot, the center stripe is itself a five-banded matrix. The following plot shows the matrix more clearly:

spy(Hstr(1:20,1:20))

Use `optimoptions`

to set
the `HessPattern`

parameter to `Hstr`

.
When a problem as large as this has obvious sparsity structure, not
setting the `HessPattern`

parameter requires a huge
amount of unnecessary memory and computation. This is because `fmincon`

attempts to use finite differencing
on a full Hessian matrix of 640,000 nonzero entries.

You must also set the `SpecifyObjectiveGradient`

parameter
to `true`

using `optimoptions`

,
since the gradient is computed in `tbroyfg.m`

. Then
execute `fmincon`

as shown in Step
2.

fun = @tbroyfg; load tbroyhstr % Get Hstr, structure of the Hessian n = 800; xstart = -ones(n,1); xstart(2:2:n) = 1; lb = -10*ones(n,1); ub = -lb; options = optimoptions('fmincon','SpecifyObjectiveGradient',true,'HessPattern',Hstr,... 'Algorithm','trust-region-reflective'); [x,fval,exitflag,output] = ... fmincon(fun,xstart,[],[],[],[],lb,ub,[],options);

After seven iterations, the `exitflag`

, `fval`

,
and `output`

values are

exitflag = 3 fval = 270.4790 output = struct with fields: iterations: 7 funcCount: 8 stepsize: 8.2073e-04 cgiterations: 18 firstorderopt: 0.0163 algorithm: 'trust-region-reflective' message: 'Local minimum possible.…' constrviolation: 0

For bound constrained problems, the first-order optimality is
the infinity norm of `v.*g`

, where `v`

is
defined as in Box Constraints, and `g`

is
the gradient.

Because of the five-banded center stripe, you can improve the
solution by using a five-banded preconditioner instead of the default
diagonal preconditioner. Using the `optimoptions`

function,
reset the `PrecondBandWidth`

parameter to `2`

and
solve the problem again. (The bandwidth is the number of upper (or
lower) diagonals, not counting the main diagonal.)

fun = @tbroyfg; load tbroyhstr % Get Hstr, structure of the Hessian n = 800; xstart = -ones(n,1); xstart(2:2:n,1) = 1; lb = -10*ones(n,1); ub = -lb; options = optimoptions('fmincon','SpecifyObjectiveGradient',true,'HessPattern',Hstr, ... 'Algorithm','trust-region-reflective','PrecondBandWidth',2); [x,fval,exitflag,output] = ... fmincon(fun,xstart,[],[],[],[],lb,ub,[],options);

The number of iterations actually goes up by two; however the
total number of CG iterations drops from 18 to 15. The first-order
optimality measure is reduced by a factor of `1e-3`

:

exitflag = 3 fval = 270.4790 output = struct with fields: iterations: 9 funcCount: 10 stepsize: 2.4512e-05 cgiterations: 15 firstorderopt: 7.5340e-05 algorithm: 'trust-region-reflective' message: 'Local minimum possible.…' constrviolation: 0

Was this topic helpful?