Introduction to Unconstrained Optimization - Scilab
Introduction to Unconstrained Optimization - Scilab
Introduction to Unconstrained Optimization - Scilab
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1 Overview<br />
In this section, we analyze optimization problems and define the associated vocabulary.<br />
We introduce level sets and separate local and global optimums. We emphasize<br />
the use of con<strong>to</strong>ur plots in the context of unconstrained and constrained optimization.<br />
1.1 Classification of optimization problems<br />
In this document, we consider optimization problems in which we try <strong>to</strong> minimize a<br />
cost function<br />
min f(x) (1)<br />
x∈Rn with or without constraints. Several properties of the problem <strong>to</strong> solve may be taken<br />
in<strong>to</strong> account by the numerical algorithms:<br />
• The unknown may be a vec<strong>to</strong>r of real or integer values.<br />
• The number of unknowns may be small (from 1 <strong>to</strong> 10 - 100), medium (from<br />
10 <strong>to</strong> 100 - 1 000) or large (from 1 000 - 10 000 and above), leading <strong>to</strong> dense<br />
or sparse linear systems.<br />
• There may be one or several cost functions (multi-objective optimization).<br />
• The cost function may be smooth or non-smooth.<br />
• There may be constraints or no constraints.<br />
• The constraints may be bounds constraints, linear or non-linear constraints.<br />
• The cost function can be linear, quadratic or a general non linear function.<br />
An overview of optimization problems is presented in figure 1. In this document,<br />
we will be concerned mainly with continuous parameters and problems with one<br />
objective function only. From that point, smooth and nonsmooth problems require<br />
very different numerical methods. It is generally believed that equality constrained<br />
optimization problems are easier <strong>to</strong> solve than inequality constrainted problems.<br />
This is because computing the set of active constraints at optimum is a difficult<br />
problem.<br />
The size of the problem, i.e. the number n of parameters, is also of great concern<br />
with respect <strong>to</strong> the design of optimization algorithms. Obviously, the rate of convergence<br />
is of primary interest when the number of parameters is large. Algorithms<br />
which require n iterations, like BFGS’s methods for example, will not be efficient<br />
if the number of iterations <strong>to</strong> perform is much less than n. Moreover, several algorithms<br />
(like New<strong>to</strong>n’s method for example), require <strong>to</strong>o much s<strong>to</strong>rage <strong>to</strong> be of<br />
a practical value when n is so large that n × n matrices cannot be s<strong>to</strong>red. Fortunately,<br />
good algorithms such as conjugate gradient methods and BFGS with limited<br />
memory methods are specifically designed for this purpose.<br />
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