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Constrained Minimization Using Pattern Search

This example shows how to minimize an objective function subject to nonlinear inequality constraints and bounds using pattern search.

Constrained Minimization Problem

We want to minimize a simple objective function of two variables x1 and x2

   min f(x) = (4 - 2.1*x1^2 + x1^4/3)*x1^2 + x1*x2 + (-4 + 4*x2^2)*x2^2;
    x

such that the following nonlinear constraints and bounds are satisfied

   x1*x2 + x1 - x2 + 1.5 <=0, (nonlinear constraint)
   10 - x1*x2 <=0,            (nonlinear constraint)
   0 <= x1 <= 1, and          (bound)
   0 <= x2 <= 13              (bound)

The above objective function is known as 'cam' as described in L.C.W. Dixon and G.P. Szego (eds.), Towards Global Optimisation 2, North-Holland, Amsterdam, 1978.

Coding the Objective Function

We create a MATLAB file named simple_objective.m with the following code in it:

   function y = simple_objective(x)
   y = (4 - 2.1*x(1)^2 + x(1)^4/3)*x(1)^2 + x(1)*x(2) + ...
       (-4 + 4*x(2)^2)*x(2)^2;

The Pattern Search solver assumes the objective function will take one input x where x has as many elements as number of variables in the problem. The objective function computes the value of the function and returns that scalar value in its one return argument y.

Coding the Constraint Function

We create a MATLAB file named simple_constraint.m with the following code in it:

   function [c, ceq] = simple_constraint(x)
   c = [1.5 + x(1)*x(2) + x(1) - x(2);
   -x(1)*x(2) + 10];
   ceq = [];

The Pattern Search solver assumes the constraint function will take one input x where x has as many elements as number of variables in the problem. The constraint function computes the values of all the inequality and equality constraints and returns two vectors c and ceq respectively.

Minimizing Using PATTERNSEARCH

To minimize our objective function using the patternsearch function, we need to pass in a function handle to the objective function as well as specifying a start point as the second argument. Lower and upper bounds are provided as LB and UB respectively. In addition, we also need to pass in a function handle to the nonlinear constraint function.

ObjectiveFunction = @simple_objective;
X0 = [0 0];   % Starting point
LB = [0 0];   % Lower bound
UB = [1 13];  % Upper bound
ConstraintFunction = @simple_constraint;
[x,fval] = patternsearch(ObjectiveFunction,X0,[],[],[],[],LB,UB, ...
    ConstraintFunction)
Optimization terminated: mesh size less than options.MeshTolerance
 and constraint violation is less than options.ConstraintTolerance.

x =

    0.8122   12.3122


fval =

   9.1324e+04

Adding Visualization

Next we create options using optimoptions that select two plot functions. The first plot function psplotbestf plots the best objective function value at every iterations, and the second plot function psplotmaxconstr plots maximum constraint violation at every iterations. We can also visualize the progress of the algorithm by displaying information to the command window using the Display option.

options = optimoptions(@patternsearch,'PlotFcn',{@psplotbestf,@psplotmaxconstr}, ...
                                      'Display','iter');
% Next we run the PATTERNSEARCH solver.
[x,fval] = patternsearch(ObjectiveFunction,X0,[],[],[],[],LB,UB, ...
    ConstraintFunction,options)
                                  max
  Iter   f-count      f(x)      constraint   MeshSize      Method
    0     1            0           10       0.8919    
    1    28       113580            0        0.001   Increase penalty
    2   105        91324    1.776e-07        1e-05   Increase penalty
    3   192        91324    1.185e-11        1e-07   Increase penalty
Optimization terminated: mesh size less than options.MeshTolerance
 and constraint violation is less than options.ConstraintTolerance.

x =

    0.8122   12.3122


fval =

   9.1324e+04

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