OpenOpt

nonSmoothSolve (similar to fsolve), non-smooth & noisy local + some global solvers; works in Octave

Description

OpenOpt is a free MATLAB Toolbox, which is also run in Octave

Particularly, it contains non-smooth solvers
ralg (medium-scale, for nVars=1...1000)
ShorEllipsoid (small-scale, for nVars=1...10)
(both can handle lb, ub, Ax<=b, Aeq*x=beq, c(x)<=0, h(x)=0; providing gradients/sub gradients df, dc, dh is appreciated)

nonSmoothSolve - fsolve analog for nonsmooth & noisy funcs (try benchmarking in nonSmoothSolveEx.m).

Graphics output is also enabled (for Octave users still there are some problems).

2 lines are enough to solve your problem -
prob = ooAssign (ObjFun, x0, <optional params>)
r = ooRun (prob, solver)
Example of output structure r:
r=
xf: [10x1 double] % x final
             ff: -0.0719 % fval final
            alg: 'Kennedy J., Eberhart R.C. (1995): Particle swarm optimization. In: Proc.'
         author: 'Alexandros Leontitsis, me00743-at-cc.uoi.gr, University of Ioannina, Greece'
(+some other fields)

Regrads, Dmitrey. 15.02.2007,
Cherkassy, Ukraine.

P.S. You are welcome to our homepage http://openopt.org, where we have provided some more free numerical optimization software (however, non-MATLAB language).

• MATLAB release: MATLAB 7.3 (R2006b)
• Other requirements: for Octave users - Octave v 2.9.9+ or preferable 2.9.10

Other Files

license.txt,
OpenOpt/ChangeLog.txt,
OpenOpt/doc/authors.doc,
OpenOpt/doc/OOUserGUIDE.doc,
OpenOpt/doc/OpenOpt.doc,
OpenOpt/doc/solvers.xls,
OpenOpt/Examples/example2.jpg,
OpenOpt/Examples/Hilb.jpg,
OpenOpt/Examples/Lemarechal.jpg,
OpenOpt/Examples/nonSmoothSolveEx.m,
OpenOpt/Examples/ooexample.m,
OpenOpt/Examples/ooexample1.m,
OpenOpt/Examples/ooexample2.m,
OpenOpt/Examples/ooexample3.m,
OpenOpt/Examples/ooexample4.m,
OpenOpt/Examples/ooexample5.m,
OpenOpt/Examples/template.m,
OpenOpt/Examples/Thumbs.db,
OpenOpt/graphics/oodraw.m,
OpenOpt/install.txt,
OpenOpt/Kernel/assignScript.m,
OpenOpt/Kernel/innerIterFCN.m,
OpenOpt/Kernel/log_funcs/errorTextByNum.m,
OpenOpt/Kernel/log_funcs/ooassert.m,
OpenOpt/Kernel/log_funcs/ooerr.m,
OpenOpt/Kernel/log_funcs/oohint.m,
OpenOpt/Kernel/log_funcs/ooinfo.m,
OpenOpt/Kernel/log_funcs/oowarn.m,
OpenOpt/Kernel/misc/ExtractRoutineParamsFromProb.m,
OpenOpt/Kernel/misc/isUC.m,
OpenOpt/Kernel/misc/ooGetViolations.m,
OpenOpt/Kernel/misc/ooPWarn.m,
OpenOpt/Kernel/misc/ooRandInfo.m,
OpenOpt/Kernel/misc/strtrim2.m,
OpenOpt/Kernel/msgstop.m,
OpenOpt/Kernel/nonSmoothAssign.m,
OpenOpt/Kernel/objFunRelated/oo_c.m,
OpenOpt/Kernel/objFunRelated/oo_d2f.m,
OpenOpt/Kernel/objFunRelated/oo_dc.m,
OpenOpt/Kernel/objFunRelated/oo_df.m,
OpenOpt/Kernel/objFunRelated/oo_dh.m,
OpenOpt/Kernel/objFunRelated/oo_f.m,
OpenOpt/Kernel/objFunRelated/oo_h.m,
OpenOpt/Kernel/ooAssign.m,
OpenOpt/Kernel/ooCheck.m,
OpenOpt/Kernel/ooCheckGradient.m,
OpenOpt/Kernel/ooCheckSolution.m,
OpenOpt/Kernel/ooInit.m,
OpenOpt/Kernel/ooIter.m,
OpenOpt/Kernel/oor.m,
OpenOpt/Kernel/ooRun.m,
OpenOpt/Kernel/ooRunProbSolver.m,
OpenOpt/Kernel/oover.m,
OpenOpt/Kernel/stopcase.m,
OpenOpt/Octave.README.txt,
OpenOpt/solvers.txt,
OpenOpt/solvers/anneal.m,
OpenOpt/solvers/buscarnd.m,
OpenOpt/solvers/GAconstrain.m,
OpenOpt/solvers/hPSO.m,
OpenOpt/solvers/quazi/nonSmoothSolve.m,
OpenOpt/solvers/quazi/ominsearch.m,
OpenOpt/solvers/quazi/ooSolveIterFcn.m,
OpenOpt/solvers/quazi/parseMATLABOptimToolboxOptions.m,
OpenOpt/solvers/UkrOpt/ralg.m,
OpenOpt/solvers/UkrOpt/ShorEllipsoid.m,
OpenOpt/test/dSimpleFun.m,
OpenOpt/test/fsolve_fun1.m,
OpenOpt/test/fsolvefun.m,
OpenOpt/test/GHilbert.m,
OpenOpt/test/GLemarechal.m,
OpenOpt/test/GMinusHilbert.m,
OpenOpt/test/Gpowers12.m,
OpenOpt/test/gpowers2.m,
OpenOpt/test/GRosenbrockBanana.m,
OpenOpt/test/HilbC.m,
OpenOpt/test/Hilbert.m,
OpenOpt/test/icosaedr.m,
OpenOpt/test/Lemarechal.m,
OpenOpt/test/LemC.m,
OpenOpt/test/LemDC.m,
OpenOpt/test/LemDH.m,
OpenOpt/test/LemH.m,
OpenOpt/test/MinusHilbert.m,
OpenOpt/test/MinusLemarechal.m,
OpenOpt/test/my_ceq.m,
OpenOpt/test/powers12.m,
OpenOpt/test/rb_c.m,
OpenOpt/test/rb_dc.m,
OpenOpt/test/rb_dh.m,
OpenOpt/test/rb_h.m,
OpenOpt/test/RosenbrockBanana.m,
OpenOpt/test/simpleFun.m,
OpenOpt/test/solve1.m,
OpenOpt/test/solve2.m,
OpenOpt/wrappers/Lin2NonLin/lin2nonlin.m,
OpenOpt/wrappers/Lin2NonLin/lin2nonlinC.m,
OpenOpt/wrappers/Lin2NonLin/lin2nonlinDC.m,
OpenOpt/wrappers/Lin2NonLin/lin2nonlinDH.m,
OpenOpt/wrappers/Lin2NonLin/lin2nonlinH.m,
OpenOpt/wrappers/nlc/cnl_c.m,
OpenOpt/wrappers/nlc/cnl_d2c.m,
OpenOpt/wrappers/nlc/cnl_d2f.m,
OpenOpt/wrappers/nlc/cnl_d2h.m,
OpenOpt/wrappers/nlc/cnl_dc.m,
OpenOpt/wrappers/nlc/cnl_df.m,
OpenOpt/wrappers/nlc/cnl_dh.m,
OpenOpt/wrappers/nlc/cnl_f.m,
OpenOpt/wrappers/nlc/cnl_h.m,
OpenOpt/wrappers/nlc/nonlinconstr.m,
OpenOpt/wrappers/nlc/nonLinConstrIterFcn.m,
OpenOpt/wrappers/nlc/updateLM.m

[Dmitrey [e-mail]]

If any bugs will be obtained, contact via icq 275976670

[Dmitrey Kroshko]

According to Mathworks rules, we can't update OpenOpt more than once per 2 monthes here. CVS/subversion is also under development.
So currently you can check for latest versions from
http://www.box.net/public/6bsuq765t4
now (11/30/06) v 0.16 is available
bugfixes:
+/- sign in ooAssign;
bugfix in the end of ooexample.m
new param prob.fEnough is available (solvers will stop if fEnough is reached)
prob.assert() implemented

[Nas Maleki]

OpenOpt is a fantastic Toolbox. Thanks Dmitrey for sharing it.

[Dmitrey [e-mail]]

15.02.2007
OpenOpt 0.35 is reliesed (download- from here, now http://www.box.net/public/6bsuq765t4 will contain only pathces & previous OpenOpt versions. If you'll obtain a error "you must pass (size prob.n x 1) vector x to the iterfcn" please download and replace ooIter.m from the URL).

Changes:
new functions: nonSmoothSolve() & ominsearch(), with same syntax as MATLAB fsolve & fminsearch;

now solver ralg() (non-smooth optimizer, fminsearch() analog, can handle ill-conditioned problems) can handle all types of linear & non-linear constraints:

lb<=x<=ub, A*x<=b, Aeq*x=beq, c(x)<=0, h(x)=0
(and ShorEllipsoid() too)

user-provided gradients/subgradients to constraints prob.dc(), prob.dh() also can be used in ralg;
prob.parallel.f=1 turnes on parallel calculation of objFun (sub)gradient via dfeval() (MDCE, jobmanagers, workers must be properly started). Octave users must provide func with similar to dfeval syntax in prob.parallel.fun.
prob.parallel.c & prob.parallel.h will be (I hope) in future OpenOpt version.

+LOTS of minor changes;

graphics:

-new marker (right-pointing triangle), reporting that MaxTime, MaxCPUTime, MaxIter, MaxFunEvals or etc is exeeded;

-graphic output speed is increased.
(some problems in Octave graphics still remain, but it's because of temporary Octave incompabilities & problems with connecting to gnuplot)

[Paul Strefling]

I have been using OpenOpt to solve both smooth and non smooth optimization problems with excellent success. It has outperformed all commertial solvers that I have tried, in both convergence time and optimal solution. It's perfromace is second to none, thank you Dmitery.

[Luke Rosenberg]

doesn't work at all - everything i tried returned errors! Not enough documentation to work out what was going on. nonSmoothSolve() does not work exactly the same as fsolve.

[Emmanuel FARHI]

Works like a charm. However, I have a few remarks to improve the package. All suggested methods are available on Matlab Central:
1-a simplex method equivalent to fminsearch would be appreciated, suggesting the State Machine Simplex Minimizer.
2-a Levenberg Marquardt method would also be appreciated, e.g. LMFsolve.
3- a Genetic Algorithm method without constrains would also be nice, especially as GA is provided with the GAconstrain method. The gaevolv could also be good.
4- the powell method seems quite efficient and could be in OpenOpt
5- There are other swam optimizers, such as 'swarm' and 'PSO'. Are they slower/less efficient that the hPSO ?
Finally, thanks for this package. Probably a better documentation would be nice, e.g. regarding the many options in ooAssign, which depend on packages.

[Dmitrey Kroshko]

hi all,
I should inform you: some months ago OpenOpt had migrated to Python programming language, and no support and further development for MATLAB/Octave version will be provided.
Thanks all for your comments.
Regards, D.
http://scipy.org/scipy/scikits/wiki/OpenOpt
http://openopt.blogspot.com/

[E W]

Is there further documentation available?

[Dmitrey Kroshko]

No, documentation is available for Python version only,
http://openopt.org/Doc