ccsaq: Conservative Convex Separable Approximation with Affine...

In nloptr: R Interface to NLopt

Conservative Convex Separable Approximation with Affine Approximation plus Quadratic Penalty

Description

This is a variant of CCSA ("conservative convex separable approximation") which, instead of constructing local MMA approximations, constructs simple quadratic approximations (or rather, affine approximations plus a quadratic penalty term to stay conservative)

Usage

ccsaq(
  x0,
  fn,
  gr = NULL,
  lower = NULL,
  upper = NULL,
  hin = NULL,
  hinjac = NULL,
  nl.info = FALSE,
  control = list(),
  ...
)

Arguments

x0	starting point for searching the optimum.
fn	objective function that is to be minimized.
gr	gradient of function fn; will be calculated numerically if not specified.
lower, upper	lower and upper bound constraints.
hin	function defining the inequality constraints, that is hin>=0 for all components.
hinjac	Jacobian of function hin; will be calculated numerically if not specified.
nl.info	logical; shall the original NLopt info been shown.
control	list of options, see nl.opts for help.
...	additional arguments passed to the function.

Value

List with components:

par	the optimal solution found so far.
value	the function value corresponding to par.
iter	number of (outer) iterations, see maxeval.
convergence	integer code indicating successful completion (> 1) or a possible error number (< 0).
message	character string produced by NLopt and giving additional information.

Note

“Globally convergent” does not mean that this algorithm converges to the global optimum; it means that it is guaranteed to converge to some local minimum from any feasible starting point.

References

Krister Svanberg, “A class of globally convergent optimization methods based on conservative convex separable approximations,” SIAM J. Optim. 12 (2), p. 555-573 (2002).

See Also

mma

Examples

##  Solve the Hock-Schittkowski problem no. 100 with analytic gradients
x0.hs100 <- c(1, 2, 0, 4, 0, 1, 1)
fn.hs100 <- function(x) {
    (x[1]-10)^2 + 5*(x[2]-12)^2 + x[3]^4 + 3*(x[4]-11)^2 + 10*x[5]^6 +
                  7*x[6]^2 + x[7]^4 - 4*x[6]*x[7] - 10*x[6] - 8*x[7]
}
hin.hs100 <- function(x) {
    h <- numeric(4)
    h[1] <- 127 - 2*x[1]^2 - 3*x[2]^4 - x[3] - 4*x[4]^2 - 5*x[5]
    h[2] <- 282 - 7*x[1] - 3*x[2] - 10*x[3]^2 - x[4] + x[5]
    h[3] <- 196 - 23*x[1] - x[2]^2 - 6*x[6]^2 + 8*x[7]
    h[4] <- -4*x[1]^2 - x[2]^2 + 3*x[1]*x[2] -2*x[3]^2 - 5*x[6]	+11*x[7]
    return(h)
}
gr.hs100 <- function(x) {
   c(  2 * x[1] -  20,
      10 * x[2] - 120,
       4 * x[3]^3,
       6 * x[4] - 66,
      60 * x[5]^5,
      14 * x[6]   - 4 * x[7] - 10,
       4 * x[7]^3 - 4 * x[6] -  8 )}
hinjac.hs100 <- function(x) {
    matrix(c(4*x[1], 12*x[2]^3, 1, 8*x[4], 5, 0, 0,
        7, 3, 20*x[3], 1, -1, 0, 0,
        23, 2*x[2], 0, 0, 0, 12*x[6], -8,
        8*x[1]-3*x[2], 2*x[2]-3*x[1], 4*x[3], 0, 0, 5, -11), 4, 7, byrow=TRUE)
}

# incorrect result with exact jacobian
S <- ccsaq(x0.hs100, fn.hs100, gr = gr.hs100,
            hin = hin.hs100, hinjac = hinjac.hs100,
            nl.info = TRUE, control = list(xtol_rel = 1e-8))


S <- ccsaq(x0.hs100, fn.hs100, hin = hin.hs100,
            nl.info = TRUE, control = list(xtol_rel = 1e-8))

nloptr documentation built on May 28, 2022, 1:17 a.m.