MATLAB,优化函数fmincon解析
[x,fval,exitflag,output,lambda,grad,hessian]=fmincon(fun,x0,A,b,Aeq,beq,lb,ub,nonlcon,options);
输入参数:fun要求解的函数值;x0函数fun参数值的初始化;
参数值的线性不等式约束A,b
参数值的等式线性约束Aeq,beq,
参数值的上界和下界lb,ub
非线性约束nonlcon
输出参数:X输出最优参数值
Fval输出fun在X参数的值
Exitflag输出fmincon额外条件值
function [X,FVAL,EXITFLAG,OUTPUT,LAMBDA,GRAD,HESSIAN] = fmincon(FUN,X,A,B,Aeq,Beq,LB,UB,NONLCON,options,varargin)
/*fmincon可以在多元函数中找到最小值
FMINCON attempts to solve problems of the form:
min F(X) subject to: A*X <= B, Aeq*X = Beq (linear constraints)线性约束
X C(X) <= 0, Ceq(X) = 0 (nonlinear constraints)非线性约束
LB <= X <= UB (bounds)
*/
/*FMINCON implements four different algorithms: interior point, SQP,
% active set, and trust region reflective. Choose one via the option
% Algorithm: for instance, to choose SQP, set OPTIONS =
% optimoptions('fmincon','Algorithm','sqp'), and then pass OPTIONS to
% FMINCON.
fmincon函数应用四种不同的算法:内点法(interior point);序列二次规划算法(SQP);有效集法(active set);信赖域有效算法(trust region reflective)。
如果采用SQP算法可以设置 OPTIONS = optimoptions('fmincon','Algorithm','sqp'),再把OPTIONS赋给fmincon
*/
/*
% X = FMINCON(FUN,X0,A,B) starts at X0 and finds a minimum X to the
% function FUN, subject to the linear inequalities A*X <= B. FUN accepts
% input X and returns a scalar function value F evaluated at X. X0 may be
% a scalar, vector, or matrix.
%
% X = FMINCON(FUN,X0,A,B,Aeq,Beq) minimizes FUN subject to the linear
% equalities Aeq*X = Beq as well as A*X <= B. (Set A=[] and B=[] if no
% inequalities exist.)
%
% X = FMINCON(FUN,X0,A,B,Aeq,Beq,LB,UB) defines a set of lower and upper
% bounds on the design variables, X, so that a solution is found in
% the range LB <= X <= UB. Use empty matrices for LB and UB
% if no bounds exist. Set LB(i) = -Inf if X(i) is unbounded below;
% set UB(i) = Inf if X(i) is unbounded above.
%
% X = FMINCON(FUN,X0,A,B,Aeq,Beq,LB,UB,NONLCON) subjects the minimization
% to the constraints defined in NONLCON. The function NONLCON accepts X
% and returns the vectors C and Ceq, representing the nonlinear
% inequalities and equalities respectively. FMINCON minimizes FUN such
% that C(X) <= 0 and Ceq(X) = 0. (Set LB = [] and/or UB = [] if no bounds
% exist.)
%
% X = FMINCON(FUN,X0,A,B,Aeq,Beq,LB,UB,NONLCON,OPTIONS) minimizes with
% the default optimization parameters replaced by values in OPTIONS, an
% argument created with the OPTIMOPTIONS function. See OPTIMOPTIONS for
% details. For a list of options accepted by FMINCON refer to the
% documentation.
%
% X = FMINCON(PROBLEM) finds the minimum for PROBLEM. PROBLEM is a
% structure with the function FUN in PROBLEM.objective, the start point
% in PROBLEM.x0, the linear inequality constraints in PROBLEM.Aineq
% and PROBLEM.bineq, the linear equality constraints in PROBLEM.Aeq and
% PROBLEM.beq, the lower bounds in PROBLEM.lb, the upper bounds in
% PROBLEM.ub, the nonlinear constraint function in PROBLEM.nonlcon, the
% options structure in PROBLEM.options, and solver name 'fmincon' in
% PROBLEM.solver. Use this syntax to solve at the command line a problem
% exported from OPTIMTOOL. The structure PROBLEM must have all the fields.
%
% [X,FVAL] = FMINCON(FUN,X0,...) returns the value of the objective
% function FUN at the solution X.
%
% [X,FVAL,EXITFLAG] = FMINCON(FUN,X0,...) returns an EXITFLAG that
% describes the exit condition of FMINCON. Possible values of EXITFLAG
% and the corresponding exit conditions are listed below. See the
% documentation for a complete description.
% */
/*
% All algorithms:
% 1 First order optimality conditions satisfied.
% 0 Too many function evaluations or iterations.
% -1 Stopped by output/plot function.
% -2 No feasible point found.
% Trust-region-reflective, interior-point, and sqp:
% 2 Change in X too small.
% Trust-region-reflective:
% 3 Change in objective function too small.
% Active-set only:
% 4 Computed search direction too small.
% 5 Predicted change in objective function too small.
% Interior-point and sqp:
% -3 Problem seems unbounded.
所有算法中EXITFLAG返回值涵义
1 满足一阶最优性条件
0函数计算或迭代太多。无法求解
-1 被输出和绘图功能阻止
-2找不到可行点
Trust-region-reflective, interior-point, and sqp:三种算法才有的返回值
2 X变化太小
Active-set 算法才有的返回值
4计算搜索的方向太小
5目标函数的预测变化太小。
Interior-point and sqp才有的
-3 问题没有边界
*/
/*
% [X,FVAL,EXITFLAG,OUTPUT] = FMINCON(FUN,X0,...) returns a structure
% OUTPUT with information such as total number of iterations, and final
% objective function value. See the documentation for a complete list.
返回包含迭代总数和最终目标函数值等信息的结构输出
*/
/*
% [X,FVAL,EXITFLAG,OUTPUT,LAMBDA] = FMINCON(FUN,X0,...) returns the
% Lagrange multipliers at the solution X: LAMBDA.lower for LB,
% LAMBDA.upper for UB, LAMBDA.ineqlin is for the linear inequalities,
% LAMBDA.eqlin is for the linear equalities, LAMBDA.ineqnonlin is for the
% nonlinear inequalities, and LAMBDA.eqnonlin is for the nonlinear
% equalities.
返回解x处的拉格朗日乘数:lambda.lower表示lb,lambda.upper表示ub,
lambda.ineqlin表示线性不等式,lambda.eqlin表示线性等式,
lambda.ineqnonlin表示非线性不等式,lambda.eqnonlin表示非线性不等式。
*/
/*
% [X,FVAL,EXITFLAG,OUTPUT,LAMBDA,GRAD] = FMINCON(FUN,X0,...) returns the
% value of the gradient of FUN at the solution X.
返回解决方案x的fun渐变值。
%*/
/* [X,FVAL,EXITFLAG,OUTPUT,LAMBDA,GRAD,HESSIAN] = FMINCON(FUN,X0,...)
% returns the value of the exact or approximate Hessian of the Lagrangian
% at X.
返回X的朗格朗日精确解或者近似Hessian矩阵
*/
/* Examples
% FUN can be specified using @:
% X = fmincon(@humps,...)
% In this case, F = humps(X) returns the scalar function value F of
% the HUMPS function evaluated at X.
%
% FUN can also be an anonymous function:
% X = fmincon(@(x) 3*sin(x(1))+exp(x(2)),[1;1],[],[],[],[],[0 0])
% returns X = [0;0].
%
% If FUN or NONLCON are parameterized, you can use anonymous functions to
% capture the problem-dependent parameters. Suppose you want to minimize
% the objective given in the function myfun, subject to the nonlinear
% constraint mycon, where these two functions are parameterized by their
% second argument a1 and a2, respectively. Here myfun and mycon are
% MATLAB file functions such as
%
% function f = myfun(x,a1)
% f = x(1)^2 + a1*x(2)^2;
%
% function [c,ceq] = mycon(x,a2)
% c = a2/x(1) - x(2);
% ceq = [];
%
% To optimize fo