【Algorithm】一般约束优化问题——PHR算法及其Matlab实现

Matlab 源码，function前一行表文件名：

  1 multphr.m
  2 function [x, mu, lambda, output] = multphr(fun, hf, gf, dfun, dhf, dgf, x0)
  3 maxk=500; sigma=2; eta=2; theta=0.8; epsilon=1e-5; k=0; ink=0;
  4 x=x0; he=feval(hf, x); gi=feval(gf, x); l=length(he); m=length(gi);
  5 
  6 mu=0.1*ones(l,1); lambda=0.1*ones(m,1);
  7 btak=10; btakold=10;
  8 
  9 while btak>epsilon && k<maxk
 10     [x, ~, ik] = bfgs('mpsi', 'dmpsi', x0, fun, hf, gf, dfun, dhf, dgf, mu, lambda, sigma);
 11     ink = ink+ik;
 12     he=feval(hf, x); gi=feval(gf, x);
 13     btak=0;
 14     for i=1:l 
 15         btak=btak+he(i)^2;
 16     end
 17     for i=1:m
 18         btak=btak+min(gi(i), lambda(i)/sigma)^2;
 19     end