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First-Order Optimality Measure

What Is First-Order Optimality Measure?

First-order optimality is a measure of how close a point x is to optimal. Most Optimization Toolbox™ solvers use this measure, though it has different definitions for different algorithms. First-order optimality is a necessary condition, but it is not a sufficient condition. In other words:

• The first-order optimality measure must be zero at a minimum.

• A point with first-order optimality equal to zero is not necessarily a minimum.

For general information about first-order optimality, see Nocedal and Wright [31]. For specifics about the first-order optimality measures for Optimization Toolbox solvers, see Unconstrained Optimality, Constrained Optimality Theory, and Constrained Optimality in Solver Form.

Stopping Rules Related to First-Order Optimality

The TolFun tolerance relates to the first-order optimality measure. Typically, if the first-order optimality measure is less than TolFun, solver iterations end.

Some solvers or algorithms use relative first-order optimality as a stopping criterion. Solver iterations end if the first-order optimality measure is less than μ times TolFun, where μ is either:

• The infinity norm (maximum) of the gradient of the objective function at x0

• The infinity norm (maximum) of inputs to the solver, such as f or b in linprog or H in quadprog

A relative measure attempts to account for the scale of a problem. Multiplying an objective function by a very large or small number does not change the stopping condition for a relative stopping criterion, but does change it for an unscaled one.

Solvers with enhanced exit messages state, in the stopping criteria details, when they use relative first-order optimality.

Unconstrained Optimality

For a smooth unconstrained problem,

the first-order optimality measure is the infinity norm (meaning maximum absolute value) of ∇f(x), which is:

This measure of optimality is based on the familiar condition for a smooth function to achieve a minimum: its gradient must be zero. For unconstrained problems, when the first-order optimality measure is nearly zero, the objective function has gradient nearly zero, so the objective function could be near a minimum. If the first-order optimality measure is not small, the objective function is not minimal.

Constrained Optimality Theory

This section summarizes the theory behind the definition of first-order optimality measure for constrained problems. The definition as used in Optimization Toolbox functions is in Constrained Optimality in Solver Form.

For a smooth constrained problem, let g and h be vector functions representing all inequality and equality constraints respectively (meaning bound, linear, and nonlinear constraints):

The meaning of first-order optimality in this case is more complex than for unconstrained problems. The definition is based on the Karush-Kuhn-Tucker (KKT) conditions. The KKT conditions are analogous to the condition that the gradient must be zero at a minimum, modified to take constraints into account. The difference is that the KKT conditions hold for constrained problems.

The KKT conditions use the auxiliary Lagrangian function:

 (3-1)

The vector λ, which is the concatenation of λg and λh, is the Lagrange multiplier vector. Its length is the total number of constraints.

The KKT conditions are:

 (3-2)

 (3-3)

 (3-4)

Solvers do not use the three expressions in Equation 3-4 in the calculation of optimality measure.

The optimality measure associated with Equation 3-2 is

 (3-5)

The optimality measure associated with Equation 3-3 is

 (3-6)

where the norm in Equation 3-6 means infinity norm (maximum) of the vector .

The combined optimality measure is the maximum of the values calculated in Equation 3-5 and Equation 3-6. Solvers that accept nonlinear constraint functions report constraint violations g(x) > 0 or |h(x)| > 0 as TolCon tolerance violations. See Tolerances and Stopping Criteria.

Constrained Optimality in Solver Form

Most constrained toolbox solvers separate their calculation of first-order optimality measure into bounds, linear functions, and nonlinear functions. The measure is the maximum of the following two norms, which correspond to Equation 3-5 and Equation 3-6:

 (3-7)
 (3-8)

where the norm of the vectors in Equation 3-7 and Equation 3-8 is the infinity norm (maximum). The subscripts on the Lagrange multipliers correspond to solver Lagrange multiplier structures. See Lagrange Multiplier Structures. The summations in Equation 3-7 range over all constraints. If a bound is ±Inf, that term is not constrained, so it is not part of the summation.

Linear Equalities Only

For some large-scale problems with only linear equalities, the first-order optimality measure is the infinity norm of the projected gradient. In other words, the first-order optimality measure is the size of the gradient projected onto the null space of Aeq.

Bounded Least-Squares and Trust-Region-Reflective Solvers

For least-squares solvers and trust-region-reflective algorithms, in problems with bounds alone, the first-order optimality measure is the maximum over i of |vi*gi|. Here gi is the ith component of the gradient, x is the current point, and

If xi is at a bound, vi is zero. If xi is not at a bound, then at a minimizing point the gradient gi should be zero. Therefore the first-order optimality measure should be zero at a minimizing point.

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