Optimization: Nonlinear Optimization without Constraints. Nonlinear Optimization without Constraints 1 / 23

Transcription

1 Optimization: Nonlinear Optimization without Constraints Nonlinear Optimization without Constraints 1 / 23

2 Nonlinear optimization without constraints Unconstrained minimization min x f(x) where f(x) is nonlinear and non-convex. Algorithms: 1. Newton and Quasi-Newton methods 2. Methods with direction determination and line optimization 3. Nelder-Mead Method Nonlinear Optimization without Constraints 2 / 23

3 Newton s algorithm 2nd-order Taylor expansion f(x) = f(x 0 )+ T f(x 0 ) (x x 0 )+ 1 2 (x x 0) T H(x 0 ) (x x 0 ) + O( x x 0 3 2) unconstrained quadratic problem Newton s algorithm: 1 min x 2 xt H(x 0 ) x + T f(x 0 ) x x opt = (x x 0 ) opt = H 1 (x 0 ) f(x 0 ) so x opt = x 0 H 1 (x 0 ) f(x 0 ) x k+1 = x k H 1 (x k ) f(x k ) Nonlinear Optimization without Constraints 3 / 23

4 Newton s algorithm (continued) f(x 0 )+ T f(x 0 ) (x x 0 )+ 1 2 (x x 0) T H(x 0 ) (x x 0 ) f f(x 0 ) x opt x 0 d d = x x 0 min d f(x 0 )+ T f(x 0 )d dt H(x 0 )d d = H 1 (x 0 ) f(x 0 ) x opt = x 0 +d = x 0 H 1 (x 0 ) f(x 0 ) Nonlinear Optimization without Constraints 4 / 23

5 Levenberg-Marquardt and quasi-newton algorithms Hessian matrix H(x k ) computation is time-consuming problems when close to singularity Solution: choose approximate Ĥ k Levenberg-Marquardt algorithm Broyden-Fletcher-Goldfarb-Shanno quasi-newton method Davidon-Fletcher-Powell quasi-newton method Modified Newton algorithm: x k+1 = x k Ĥ 1 k f(x k ) Nonlinear Optimization without Constraints 5 / 23

6 Modified Newton algorithm: x k+1 = x k Ĥ 1 k f(x k ) Levenberg-Marquardt algorithm: Ĥ k = λi +H(x k ) Broyden-Fletcher-Goldfarb-Shanno quasi-newton method: Ĥ k = Ĥ k 1 + q kq T k q T k s k Ĥ T k 1 s ks T k Ĥk 1 s T k Ĥk 1s k where s k = x k x k 1 q k = f(x k ) f(x k 1 ) Davidon-Fletcher-Powell quasi-newton method: ˆD k = ˆD k 1 + s ks T k q T k s k ˆD k 1 q k q T k ˆD T k 1 q T k ˆD k 1 q k where s k = x k x k 1 q k = f(x k ) f(x k 1 ) x k+1 = x k ˆD k f(x k ) no inverse! Nonlinear Optimization without Constraints 6 / 23

7 Nonlinear least squares problems e(x) = [ e 1 (x) e 2 (x)... e N (x) ] T (N components) f(x) = e(x) 2 2 = e T (x)e(x) f(x) = 2 e(x)e(x) N H(x) = 2 e(x) T e(x)+ 2 2 e i (x)e i (x) i=1 with e: Jacobian of e and 2 e i : Hessian of e i e(x) 0 Ĥ(x) = 2 e(x) T e(x) Gauss-Newton method: x k+1 = x k ( e(x k ) T e(x k )) 1 e(xk )e(x k ) Levenberg-Marquardt method: ( ) λi 1 x k+1 = x k 2 + e(x k) T e(x k ) e(x k )e(x k ) Nonlinear Optimization without Constraints 7 / 23

8 Direction determination & Line minimization Minimization along search direction Direction determination n-dimensional minimization: Choose a search direction d k at x k Minimize f(x) over the line One-dimensional minimization: x = argmin x f(x) x = x k +d k s, s R x k+1 = x k +d k s k with s k = argmin s f(x k +d k s) Nonlinear Optimization without Constraints 8 / 23

9 Direction determination & Line minimization (continued) f f k (s)= f(x k +d k s) x k +d k s x d k k s = 0 x k s Nonlinear Optimization without Constraints 9 / 23

10 Line minimization Initial point x k Search direction d k Line minimization min s f(x k +d k s ) = min s f k (s ) Fixed / Variable step method Parabolic / Cubic interpolation Golden section / Fibonacci method Nonlinear Optimization without Constraints 10 / 23

11 Parabolic interpolation f k f k (s 3 ) p k f k (s 1 ) f k (s 2 ) s 1 s 4 s 2 s 3 (a) using three function values f k pk f k (s 2 ) f k (s 1 ) s 1 s 4 s 2 (b) using two function values and 1 derivative Nonlinear Optimization without Constraints 11 / 23

12 Golden section method Suppose minimum in [a l,d l ], f k unimodal in [a l,d l ] f k Construct: b l = λa l +(1 λ)d l c l = (1 λ)a l +λd l a l b l c l d l Golden section method: λ = 1 2 ( 5 1) only one function evaluation per iteration f k a l+1 b l+1 c l+1d l+1 Nonlinear Optimization without Constraints 12 / 23

13 Fibonacci method: Fibonacci sequence {µ k } = 0, 1, 1, 2, 3, 5, 8, 13, 21,... µ k = µ k 1 +µ k 2 µ 0 = 0, µ 1 = 1 Select n such that Next use 1 µ n (b 0 a 0 ) ε λ l = µ n 2 l µ n 1 l Also allows to reuse points from one iteration to next Fibonacci method gives optimal interval reduction for given number of function evaluations Nonlinear Optimization without Constraints 13 / 23

14 Determination of search direction Gradient methods and conjugate-gradient methods Perpendicular search methods Perpendicular method Powell s perpendicular method Nonlinear Optimization without Constraints 14 / 23

15 Gradient and conjugate-gradient methods Steepest descent: d k = f(x k ) Conjugate gradient methods: d k = Ĥ 1 k f(x k ) Levenberg-Marquardt direction Broyden-Fletcher-Goldfarb-Shanno direction Davidon-Fletcher-Powell direction Fletcher-Reeves direction: d k = f(x k )+µ k d k 1 where µ k = T f(x k ) f(x k ) T f(x k 1 ) f(x k 1 ) Nonlinear Optimization without Constraints 15 / 23

16 Perpendicular search method Perpendicular set of search directions: d 0 = [ ] T d 1 = [ ] T d n 1 = [ ] T x2 x3 0.5 x0 x Nonlinear Optimization without Constraints 16 / 23

17 Powell s perpendicular method Initial point: x 0 := x 0 First set of search directions: results in x 1,..., x n S 1 = (d 0,d 1,...,d n 1 ) Perform search in direction x n x 0 x n New set of search directions: drop d 0 and add x n x 0 : results in x n+1,..., x 2n S 2 = (d 1,d 2,...,d n 1,x n x 0 ) Perform search in direction x 2n x n x 2n New set of search directions: drop d 1 and add x 2n x n :... S 3 = (d 2,d 3,...,d n 1,x n x 0,x 2n x n ) Nonlinear Optimization without Constraints 17 / 23

18 Powell s perpendicular method (continued) x x 3 x x 2 1 x x 0 = x 0 x Nonlinear Optimization without Constraints 18 / 23

19 Nelder-Mead method Vertices of a simplex: (x 0,x 1,x 2 ) Let f(x 0 ) > f(x 1 ) and f(x 0 ) > f(x 2 ) x 3 = x 1 +x 2 x 0 point reflection around x c = (x 1 +x 2 )/2 x 1 x 0 x c C R x 3 E C = Contraction x 2 R = Reflection E = Expansion Nelder-Mead method does not use gradient Method is less efficient than previous methods if more than 3 4 variables Nonlinear Optimization without Constraints 19 / 23

20 4.5 x x3 1 x1 0.5 x2 0 x Reflection in the Nelder-Mead algorithm Nonlinear Optimization without Constraints 20 / 23

21 Summary Nonlinear programming without constraints: Standard form min x f(x) Three main classes of algorithms: 1 Newton and quasi-newton methods 2 Methods with direction determination and line optimization 3 Nelder-Mead Method Nonlinear Optimization without Constraints 21 / 23

22 Test: Classification of optimization problems I max exp(x 1 x 2 ) x R 3 s.t. 2x 1 +3x 2 5x 3 1 This problem is/can be recast as (check most restrictive answer): linear programming problem quadratic programming problem nonlinear programming problem Nonlinear Optimization without Constraints 22 / 23

23 Test: Classification of optimization problems II max x R 3 x 1x 2 +x 2 x 3 s.t. x 2 1 +x 2 2 +x This problem is/can be recast as (check most restrictive answer): linear programming problem quadratic programming problem nonlinear programming problem Nonlinear Optimization without Constraints 23 / 23