GlobalSearch
Find global minimum
Description
A GlobalSearch
object contains properties
(options) that affect how run
repeatedly runs a local solver to
generate a GlobalOptimSolution
object. When run, the
solver attempts to locate a solution that has the lowest objective function
value.
Creation
Syntax
Description
gs = GlobalSearch
creates gs
, a
GlobalSearch
solver with its properties
set to the defaults.
gs = GlobalSearch(Name,Value)
sets properties using
name-value pairs.
gs = GlobalSearch(oldGS,Name,Value)
creates a copy of the
oldGS
GlobalSearch
solver, and sets properties using
name-value pairs.
gs = GlobalSearch(ms)
creates gs
, a
GlobalSearch
solver, with common property
values from the ms
MultiStart
solver.
Properties
BasinRadiusFactor
— Basin radius decrease factor
0.2
(default) | scalar from 0
through 1
Basin radius decrease factor, specified as a scalar from
0
through 1
. A basin radius
decreases after MaxWaitCycle
consecutive start points are
within the basin. The basin radius decreases by a factor of
1 – BasinRadiusFactor
.
Set BasinRadiusFactor
to 0
to
disable updates of the basin radius.
Example:
0.5
Data Types: double
Display
— Level of display to the Command Window
'final'
(default) | 'iter'
| 'off'
Level of display to the Command Window, specified as one of the following character vectors or strings:
'final'
– Report summary results afterrun
finishes.'iter'
– Report results after the initialfmincon
run, after Stage 1, after every 200 start points, and after every run offmincon
, in addition to the final summary.'off'
– No display.
Example:
'iter'
Data Types: char
| string
DistanceThresholdFactor
— Multiplier for determining trial point is in existing basin
0.75
(default) | nonnegative scalar
Multiplier for determining whether a trial point is in an existing basin of attraction, specified as a nonnegative scalar. For details, see Examine Stage 2 Trial Point to See if fmincon Runs.
Example: 0.5
Data Types: double
FunctionTolerance
— Tolerance on function values for considering solutions equal
1e-6
(default) | nonnegative scalar
Tolerance on function values for considering solutions equal, specified as a
nonnegative scalar. Solvers consider two solutions identical if they are within
XTolerance
relative distance of each other and have objective
function values within FunctionTolerance
relative difference of each
other. If both conditions are not met, solvers report the solutions as distinct. Set
FunctionTolerance
to 0
to obtain the results
of every local solver run. Set FunctionTolerance
to a larger value to
have fewer results. For GlobalSearch
details, see Update Solution Set in When fmincon Runs. For
MultiStart
details, see Create GlobalOptimSolution Object.
Example:
1e-4
Data Types: double
MaxTime
— Maximum time in seconds that GlobalSearch runs
Inf
(default) | positive
scalar
Maximum time in seconds that GlobalSearch
runs, specified as a positive scalar. GlobalSearch and its local solvers halt when
MaxTime
seconds have passed since the beginning of the run, as
measured by tic
and toc
.
MaxTime
does not interrupt local
solvers during a run, so the total time can exceed
MaxTime
.
Example: 180
stops the
solver the first time a local solver call finishes after 180
seconds.
Data Types: double
MaxWaitCycle
— Algorithm control parameter
20
(default) | positive integer
Algorithm control parameter, specified as a positive integer.
If the observed penalty function of
MaxWaitCycle
consecutive trial points is at least the penalty threshold, then raise the penalty threshold (see PenaltyThresholdFactor).If
MaxWaitCycle
consecutive trial points are in a basin, then update that basin's radius (see BasinRadiusFactor).
Example: 40
Data Types: double
NumStageOnePoints
— Number of Stage 1 points
200
(default) | positive integer
Number of Stage 1 points, specified as a positive integer. For details, see Obtain Stage 1 Start Point, Run.
Example: 1000
Data Types: double
NumTrialPoints
— Number of potential start points
1000
(default) | positive integer
Number of potential start points, specified as a positive integer.
Example: 3e4
Data Types: double
OutputFcn
— Report on solver progress or halt solver
[]
(default) | @savelocalsolutions
| function handle | cell array of function handles
Report on solver progress or halt solver, specified as a function handle or cell array of function handles. Output functions run after each local solver call. They also run when the global solver starts and ends. Write output functions using the syntax described in OutputFcn. See Custom GlobalSearch Output Function.
The built-in @savelocalsolutions
output function saves all local
solutions to the localSolTable
variable in the base workspace. This
output function saves the infeasible local solutions as well as the feasible local
solutions. For an example, see Collect All Local Solutions.
Data Types: cell
| function_handle
PenaltyThresholdFactor
— Increase in penalty threshold
0.2
(default) | positive scalar
Increase in the penalty threshold, specified as a positive scalar. For details, see React to Large Counter Values.
Example: 0.4
Data Types: double
PlotFcn
— Plot solver progress
[]
(default) | function handle | cell array of function handles
Plot solver progress, specified as a function handle or cell array of function handles. Plot functions run after each local solver call. They also run when the global solver starts and ends. Write plot functions using the syntax described in OutputFcn.
There are two built-in plot functions:
@gsplotbestf
plots the best objective function value.@gsplotfunccount
plots the number of function evaluations.
Example:
@gsplotbestf
Data Types: cell
| function_handle
StartPointsToRun
— Start points to run
'all'
(default) | 'bounds'
| 'bounds-ineqs'
Start points to run, specified as:
'all'
— Run all start points.'bounds'
— Run only start points that satisfy bounds.'bounds-ineqs'
— Run only start points that satisfy bounds and inequality constraints.
GlobalSearch
checks the
StartPointsToRun
property only during Stage 2 of the
GlobalSearch
algorithm (the main loop). For more
information, see GlobalSearch Algorithm.
Example:
'bounds'
runs only points that satisfy all
bounds.
Data Types: char
| string
XTolerance
— Tolerance on distance for considering solutions equal
1e-6
(default) | nonnegative
scalar
Tolerance on distance for considering solutions equal, specified as a nonnegative
scalar. Solvers consider two solutions identical if they are within
XTolerance
relative distance of each other and have objective
function values within FunctionTolerance
relative difference of each
other. If both conditions are not met, solvers report the solutions as distinct. Set
XTolerance
to 0
to obtain the results of every
local solver run. Set XTolerance
to a larger value to have fewer
results. For GlobalSearch
details, see Update Solution Set in When fmincon Runs. For
MultiStart
details, see Create GlobalOptimSolution Object.
Example: 2e-4
Data Types: double
Object Functions
run | Run multiple-start solver |
Examples
Run GlobalSearch
on Multidimensional Problem
Create an optimization problem that has several local minima, and try to find the global minimum using GlobalSearch
. The objective is the six-hump camel back problem (see Run the Solver).
rng default % For reproducibility gs = GlobalSearch; sixmin = @(x)(4*x(1)^2 - 2.1*x(1)^4 + x(1)^6/3 ... + x(1)*x(2) - 4*x(2)^2 + 4*x(2)^4); problem = createOptimProblem('fmincon','x0',[-1,2],... 'objective',sixmin,'lb',[-3,-3],'ub',[3,3]); x = run(gs,problem)
GlobalSearch stopped because it analyzed all the trial points. All 8 local solver runs converged with a positive local solver exit flag.
x = 1×2
-0.0898 0.7127
You can request the objective function value at x
when you call run
by using the following syntax:
[x,fval] = run(gs,problem)
However, if you neglected to request fval
, you can still compute the objective function value at x
.
fval = sixmin(x)
fval = -1.0316
Run GlobalSearch
on 1-D Problem
Consider a function with several local minima.
fun = @(x) x.^2 + 4*sin(5*x); fplot(fun,[-5,5])
To search for the global minimum, run GlobalSearch
using the fmincon
'sqp'
algorithm.
rng default % For reproducibility opts = optimoptions(@fmincon,'Algorithm','sqp'); problem = createOptimProblem('fmincon','objective',... fun,'x0',3,'lb',-5,'ub',5,'options',opts); gs = GlobalSearch; [x,f] = run(gs,problem)
GlobalSearch stopped because it analyzed all the trial points. All 23 local solver runs converged with a positive local solver exit flag.
x = -0.3080
f = -3.9032
GlobalSearch
Using Common Properties from MultiStart
Create a nondefault MultiStart
object.
ms = MultiStart('FunctionTolerance',2e-4,'UseParallel',true)
ms = MultiStart with properties: UseParallel: 1 Display: 'final' FunctionTolerance: 2.0000e-04 MaxTime: Inf OutputFcn: [] PlotFcn: [] StartPointsToRun: 'all' XTolerance: 1.0000e-06
Create a GlobalSearch
object that uses the available properties from ms
.
gs = GlobalSearch(ms)
gs = GlobalSearch with properties: NumTrialPoints: 1000 BasinRadiusFactor: 0.2000 DistanceThresholdFactor: 0.7500 MaxWaitCycle: 20 NumStageOnePoints: 200 PenaltyThresholdFactor: 0.2000 Display: 'final' FunctionTolerance: 2.0000e-04 MaxTime: Inf OutputFcn: [] PlotFcn: [] StartPointsToRun: 'all' XTolerance: 1.0000e-06
gs
has the same nondefault value of FunctionTolerance
as ms
. But gs
does not use the UseParallel
property.
Update GlobalSearch
Properties
Create a GlobalSearch
object with a FunctionTolerance
of 1e-4
.
gs = GlobalSearch('FunctionTolerance',1e-4)
gs = GlobalSearch with properties: NumTrialPoints: 1000 BasinRadiusFactor: 0.2000 DistanceThresholdFactor: 0.7500 MaxWaitCycle: 20 NumStageOnePoints: 200 PenaltyThresholdFactor: 0.2000 Display: 'final' FunctionTolerance: 1.0000e-04 MaxTime: Inf OutputFcn: [] PlotFcn: [] StartPointsToRun: 'all' XTolerance: 1.0000e-06
Update the XTolerance
property to 1e-3
and the StartPointsToRun
property to 'bounds'
.
gs = GlobalSearch(gs,'XTolerance',1e-3,'StartPointsToRun','bounds')
gs = GlobalSearch with properties: NumTrialPoints: 1000 BasinRadiusFactor: 0.2000 DistanceThresholdFactor: 0.7500 MaxWaitCycle: 20 NumStageOnePoints: 200 PenaltyThresholdFactor: 0.2000 Display: 'final' FunctionTolerance: 1.0000e-04 MaxTime: Inf OutputFcn: [] PlotFcn: [] StartPointsToRun: 'bounds' XTolerance: 1.0000e-03
You can also update properties one at a time by using dot notation.
gs.MaxTime = 1800
gs = GlobalSearch with properties: NumTrialPoints: 1000 BasinRadiusFactor: 0.2000 DistanceThresholdFactor: 0.7500 MaxWaitCycle: 20 NumStageOnePoints: 200 PenaltyThresholdFactor: 0.2000 Display: 'final' FunctionTolerance: 1.0000e-04 MaxTime: 1800 OutputFcn: [] PlotFcn: [] StartPointsToRun: 'bounds' XTolerance: 1.0000e-03
Algorithms
For a detailed description of the algorithm, see GlobalSearch Algorithm. Ugray et al. [1] describe both the algorithm and the scatter-search method of generating trial points.
References
[1] Ugray, Zsolt, Leon Lasdon, John Plummer, Fred Glover, James Kelly, and Rafael Martí. Scatter Search and Local NLP Solvers: A Multistart Framework for Global Optimization. INFORMS Journal on Computing, Vol. 19, No. 3, 2007, pp. 328–340.
Version History
Introduced in R2010aR2024a: Output Function: Built-in output function and updated optimValues
structure
The built-in @savelocalsolutions
output function saves all local solutions to the localSolTable
variable in the base workspace. This output function saves the infeasible local solutions as well as the feasible local solutions.
The optimValues Structure in
output functions and plot functions now contains the
constrviolation
field, which has the maximum constraint
violation. This value is 0
for no constraint violations.
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