matlab grid search,Grid Search Method

by Namir Shammas

The following program calculates the minimum point of a

multi-variable function using the grid search method. This method

performs a multi-dimensional grid search. The grid is defined by a

multiple dimensions. Each dimension has a range of values. Each

range is divided into a set of equal-value intervals. The

multi-dimensional grid has a centroid which locates the optimum

point. The search involves multiple passes. In each pass, the

method local a node (point of intersection) with the least function

value. This node becomes the new centroid and builds a smaller grid

around it. Successive passes end up shrinking the multidimensional

grid around the optimum.

The function Grid_Search has the following input

parameters:

N - number of variables

XLo - array of lower values

XHi - array of higher values

NumDiv - array of number of divisions for each

range

MinDeltaX - array of minimum ranges

Eps_Fx - tolerance for difference in successive function

values

MaxIter - maximum number of iterations

myFx - name of the optimized function

The function generates the following output:

X - array of optimized variables

BestF - function value at optimum

Iters - number of iterations

Here is a sample session to find the optimum for the

following function:

y = 10 + (X(1) - 2)^2 + (X(2) + 5)^2

The above function resides in file fx1.m. The search for

the optimum 2 variables has the search range of [-10 -10] and [10

10] with a divisions vector of [4 5] and a minimum range vector of

[1e-5 1e-5]. The search employs a maximum of 10000 iterations and a

function tolerance of 1e-7:

>> [XBest,BestF,Iters]=Grid_Search(2, [-10 -10], [10

10], [4 4], [1e-5 1e-5], 1e-7, 10000, 'fx1')

XBest =

2.0001 -5.0000

BestF =

10.0000

Iters =

200

Notice how close the located optimum is to the actual one

[-2 5]..

Here is the MATLAB listing:

function y=fx1(X, N)

y = 10 + (X(1) - 2)^2 + (X(2) +

5)^2;

end

function [XBest,BestF,Iters]=Grid_Search(N, XLo, XHi,

NumDiv, MinDeltaX, Eps_Fx, MaxIter, myFx)

% Function performs multivariate optimization using

the

% grid search.

%

% Input

%

% N - number of variables

% XLo - array of lower values

% XHi - array of higher values

% NumDiv - array of number of divisions along each

dimension

% MinDeltaX - array of minimum search values for each

variable

% Eps_Fx - tolerance for difference in successive function

values

% MaxIter - maximum number of iterations

% myFx - name of the optimized function

%

% Output

%

% XBest - array of optimized variables

% BestF - function value at optimum

% Iters - number of iterations

%

Xcenter = (XHi + XLo) / 2;

XBest = Xcenter;

DeltaX = (XHi - XLo) ./ NumDiv;

BestF = feval_r(myFx, XBest, N);;

if BestF >= 0

LastBestF = BestF + 100;

else

LastBestF = 100 - BestF;

end

X = XLo; % initial search value

Iters = 0;

bGoOn = 1;

while (bGoOn > 0) && (abs(BestF - LastBestF)

> Eps_Fx) && (Iters <= MaxIter)

bGoOn2 = 1;

while bGoOn2 > 0

Iters = Iters + 1;

F =

feval_r(myFx, X, N);

if

F <

BestF

LastBestF = BestF;

BestF = F;

XBest = X;

end

%*****************************************************

%

The next For loop implements a programming tricks

%

that simulated nested loops using just one For loop

%*****************************************************

%

search next grid node

for

i = 1:N

if X(i) >= XHi(i)

if i < N

X(i) = XLo(i);

else

bGoOn2 = 0;

break

end

else

X(i) = X(i) + DeltaX(i);

break

end

end

end % while bGoOn2 > 0

XCenter = XBest;

DeltaX = DeltaX ./ NumDiv;

XLo = XCenter - DeltaX .* NumDiv /

2;

XHi = XCenter + DeltaX .* NumDiv /

2;

X = XLo; % set initial X

bGoOn = 0;

for i=1:N

if

DeltaX(i) > MinDeltaX(i)

bGoOn = 1;

end

end

end % while bGoOn > 0 && () &&

()