Matlab做全局优化,matlab全局优化与局部优化

在实际的工作和生活过程中，优化问题无处不在，比如资源如何分配效益最高，拟合问题，最小最大值问题等等。优化问题一般分为局部最优和全局最优，局部最优，就是在函数值空间的一个有限区域内寻找最小值；而全局最优，是在函数值空间整个区域寻找最小值问题。

函数局部最小点是那种它的函数值小于或等于附近点的点。但是有可能大于较远距离的点。

全局最小点是那种它的函数值小于或等于所有的可行点。

全局优化和局部优化区别示意图

matlab中的提供的传统优化工具箱(Optimization Tool)，能实现局部最优，但要得全局最优，则要用全局最优化算法(Global Optimization Tool)，主要包括：

GlobalSearch 全局搜索和MultiStart多起点方法产生若干起始点，然后它们用局部求解器去找到起始点吸引盆处的最优点。

ga 遗传算法用一组起始点(称为种群)，通过迭代从种群中产生更好的点，只要初始种群覆盖几个盆，GA就能检查几个盆。

simulannealbnd模拟退火完成一个随机搜索，通常，模拟退火算法接受一个点，只要这个点比前面那个好，它也偶而接受一个比较糟的点，目的是转向不同的盆。

patternsearch模式搜索算法在接受一个点之前要看看其附近的一组点。假如附近的某些点属于不同的盆，模式搜索算法本质上时同时搜索若干个盆。

下面我就一些具体例子，来说明各种优化方法：

先看一个求最小值的普通优化问题

%%目标函数

f = @(x) x.*sin(x) + x.*cos(2.*x);

%% 的取值范围

lb = 0;

ub = 10;

%% 寻找最小值和绘图

x0 = [0 1 3 6 8 10];

hf = figure;

for i=1:6

x(i) = fmincon(f,x0(i),[],[],[],[],lb,ub,[],...

optimset('Algorithm','SQP','Disp','none'));

subplot(2,3,i)

ezplot(f,[lb ub]);

hold on

plot(x0(i),f(x0(i)),'k+')

plot(x(i),f(x(i)),'ro')

hold off

title(['Starting at ',num2str(x0(i))])

if i == 1 || i == 4

ylabel('x sin(x) + x cos(2 x)')

end

end

可以看出，初值x0不同，得到的结果截然不同，这说明这种求解器，能寻找局部最优，但不一定是全局最优，在起点为8时，取得全局最优。

我们换一种求解器：fminbound,这种求解器不需要给点初值。

x2 = fminbnd(f,lb,ub);

figure

ezplot(f,[lb ub]);

hold on

plot(x2,f(x2),'ro')

hold off

ylabel('x sin(x) + x cos(2 x)')

title({'Solution using fminbnd.','Required no starting point!'})

现在我们尝试全局最优的方法：GlobalSearch

% Leason Learned: Use the appropriate solver for your problem type!

%% But what if |fmincon| was the only choice?

% Use globalSearch or MultiStart

problem = createOptimProblem('fmincon','objective',f,'x0',x0(1),'lb',lb,...

'ub',ub,'options',optimset('Algorithm','SQP','Disp','none'));

gs = GlobalSearch;

xgs = run(gs,problem);

figure

ezplot(f,[lb ub]);

hold on

plot(xgs,f(xgs),'ro')

hold off

ylabel('x sin(x) + x cos(2 x)')

title('Solution using globalSearch.')

因此全局最优的方法能够获取全局最优。

再看一个线性拟合的问题:

close all, clear all, clc

%% Pharmacokinetic Data

t = [ 3.92, 7.93, 11.89, 23.90, 47.87, 71.91, 93.85, 117.84 ] %#ok

c = [0.163, 0.679, 0.679, 0.388, 0.183, 0.125, 0.086, 0.0624 ]

plot(t,c,'o'), xlabel('t'), ylabel('c')

%% 3 Compartment Model

model = @(b,t) b(1)*exp(-b(4)*t) + b(2)*exp(-b(5)*t) + b(3)*exp(-b(6)*t)

%% Define Optimization Problem

problem = createOptimProblem('lsqcurvefit', ...

'objective', model, ...

'xdata', t, 'ydata', c, ...

'x0',ones(1,6),...

'lb', [-10 -10 -10 0 0 0 ],...

'ub', [ 10 10 10 0.5 0.5 0.5], ...

'options',optimset('OutputFcn',...

@curvefittingPlotIterates))

%% solve

b = lsqcurvefit(problem)

结果：最小二乘拟合结果误差较大

现在我们尝试全局最优方法：MultiStart

%% Multistart

ms = MultiStart

[b,fval,exitflag,output,solutions] = run(ms, problem, 50) %#ok

%%

curvefittingPlotIterates(solutions)

%%

problem.options.OutputFcn = {};

tic, [b,fval,exitflag,output,solutions] = run(ms, problem, 100), toc %计算算法的时间

可以看出全局优化结果较好，误差较小。

这种算法的运行时间：Elapsed time is 6.139324 seconds.

使用并行计算的方式解决

%% Parallel Version

matlabpool open 2 %开启两个matlab并行计算

ms.UseParallel = 'always' %开启并行计算

tic, [bp,fvalp,exitflagp,outputp,solutionsp] = run(ms, problem, 100); toc

matlabpool close

结果：14 out of 100 local solver runs converged with a positive local solver exit flag.

Elapsed time is 4.358762 seconds.Sending a stop signal to all the labs ... stopped.可以看出，运行时间减少，提高了效率。

再看一个寻找最小值的问题

%% Objective Function

% We wish find the minimum of the |peaks| function

clear all, close all, clc

peaks

%% Nonlinear Constraint Function

% Subject to a nonlinear constraint defined by a circular region of radius

% three around the origin

type circularConstraint

%% Define Optimization Problem

problem = createOptimProblem('fmincon',...

'objective',@(x) peaks(x(1),x(2)), ...

'nonlcon',@circularConstraint,...

'x0',[-1 -1],...

'lb',[-3 -3],...

'ub',[3 3],...

'options',optimset('OutputFcn',...

@peaksPlotIterates))

%% Run the solver |fmincon| from the inital point

% We can see the solution is not the global minimum

[x,f] = fmincon(problem)

这种方法只能寻找局部最优。

现在用全局优化算法：

%% Use |MultiStart| to Find the Global Minimum

% Define the multistart solver

close all

ms = MultiStart %这里可以换成GlobalSearch

%% Run |Multistart|

% Well use 5 starting points

[x,f,exitflag,output,solutions] = run(ms, problem, 5)

再举一个模拟退火即模式搜索的算法 ：

[x fval] = simulannealbnd(@objfun,x0,lb,ub,options)

%% Objective Function

% We wish find the minimum of the |peaks| function

clear all, close all, clc

peaks

%% Nonlinear Constraint Function

% Subject to a nonlinear constraint defined by a circular region of radius

% three around the origin

type circularConstraint

%% Define Optimization Problem

problem = createOptimProblem('fmincon',...

'objective',@(x) peaks(x(1),x(2)), ...

'nonlcon',@circularConstraint,...

'x0',[-1 -1],...

'lb',[-3 -3],...

'ub',[3 3],...

'options',optimset('OutputFcn',...

@peaksPlotIterates))

%% Run the solver |fmincon| from the inital point

% We can see the solution is not the global minimum

[x,f] = fmincon(problem)

%% Use Simmulated Annealing to Find the Global Minimum

% Solve the problem using simmulated annealing. Note that simmulated

% annealing does not support nonlinear so we need to account for this in

% the objective function.

problem.solver = 'simulannealbnd';

problem.objective = @(x) peaks(x(1),x(2)) + (x(1)^2 + x(2)^2 - 9);

problem.options = saoptimset('OutputFcn',@peaksPlotIterates,...

'Display','iter',...

'InitialTemperature',10,...

'MaxIter',300)

[x,f] = simulannealbnd(problem)

f = peaks(x(1),x(2))

Use Pattern Search to Find the Global Minimum

%% Use Pattern Search to Find the Global Minimum

% Solve the problem using pattern search.

problem.solver = 'patternsearch';

problem.options = psoptimset('OutputFcn',@peaksPlotIterates,...

'Display','iter',...

'SearchMethod',{@searchlhs})

[x,f] = patternsearch(problem)