Given a mathematical function of a single variable, you can use the
fminbnd function to find a local minimizer of the function in a given interval. For example, consider the
humps.m function, which is provided with MATLAB®. The following figure shows the graph of
x = -1:.01:2; y = humps(x); plot(x,y) xlabel('x') ylabel('humps(x)') grid on
To find the minimum of the
humps function in the range
x = fminbnd(@humps,0.3,1)
x = 0.6370
You can see details of the solution process by using
optimset to create options with the
Display option set to
'iter'. Pass the resulting options to
options = optimset('Display','iter'); x = fminbnd(@humps,0.3,1,options)
Func-count x f(x) Procedure 1 0.567376 12.9098 initial 2 0.732624 13.7746 golden 3 0.465248 25.1714 golden 4 0.644416 11.2693 parabolic 5 0.6413 11.2583 parabolic 6 0.637618 11.2529 parabolic 7 0.636985 11.2528 parabolic 8 0.637019 11.2528 parabolic 9 0.637052 11.2528 parabolic Optimization terminated: the current x satisfies the termination criteria using OPTIONS.TolX of 1.000000e-04
x = 0.6370
The iterative display shows the current value of
x and the function value at
f(x) each time a function evaluation occurs. For
fminbnd, one function evaluation corresponds to one iteration of the algorithm. The last column shows the procedure
fminbnd uses at each iteration, a golden section search or a parabolic interpolation. For details, see Optimization Solver Iterative Display.
is similar to
fminbnd except that it handles functions
of many variables. Specify a starting vector x0 rather
than a starting interval.
fminsearch attempts to
return a vector x that is a local minimizer of
the mathematical function near this starting vector.
fminsearch, create a function
function b = three_var(v) x = v(1); y = v(2); z = v(3); b = x.^2 + 2.5*sin(y) - z^2*x^2*y^2;
Now find a minimum for this function using
x = -0.6,
= -1.2, and
z = 0.135 as the starting values.
v = [-0.6,-1.2,0.135]; a = fminsearch(@three_var,v) a = 0.0000 -1.5708 0.1803
attempt to minimize an objective function. If you have a maximization
problem, that is, a problem of the form
then define g(x) = –f(x), and minimize g.
For example, to find the maximum of tan(cos(x)) near x = 5, evaluate:
[x fval] = fminbnd(@(x)-tan(cos(x)),3,8) x = 6.2832 fval = -1.5574
The maximum is 1.5574 (the negative of the reported
fval), and occurs at x = 6.2832. This answer is correct since, to five digits, the maximum is tan(1) = 1.5574, which occurs at x = 2π = 6.2832.
fminsearch uses the Nelder-Mead simplex
algorithm as described in Lagarias et al. . This algorithm uses a simplex of n + 1 points for n-dimensional
vectors x. The algorithm first makes a simplex
around the initial guess x0 by
adding 5% of each component x0(i)
to x0. The algorithm uses
these n vectors as elements of the simplex in addition
to x0. (The algorithm uses
0.00025 as component i if x0(i) = 0.) Then, the
algorithm modifies the simplex repeatedly according to the following
The keywords for the
display appear in bold after the
description of the step.
Let x(i) denote the list of points in the current simplex, i = 1,...,n+1.
Order the points in the simplex from lowest function value f(x(1)) to highest f(x(n+1)). At each step in the iteration, the algorithm discards the current worst point x(n+1), and accepts another point into the simplex. [Or, in the case of step 7 below, it changes all n points with values larger than f(x(1))].
Generate the reflected point
r = 2m – x(n+1),
m = Σx(i)/n, i = 1...n,
and calculate f(r).
If f(x(1)) ≤ f(r) < f(x(n)), accept r and terminate this iteration. Reflect
If f(r) < f(x(1)), calculate the expansion point s
s = m + 2(m – x(n+1)),
and calculate f(s).
If f(s) < f(r), accept s and terminate the iteration. Expand
Otherwise, accept r and terminate the iteration. Reflect
If f(r) ≥ f(x(n)), perform a contraction between m and the better of x(n+1) and r:
If f(r) < f(x(n+1)) (that is, r is better than x(n+1)), calculate
c = m + (r – m)/2
and calculate f(c). If f(c) < f(r), accept c and terminate the iteration. Contract outside Otherwise, continue with Step 7 (Shrink).
If f(r) ≥ f(x(n+1)), calculate
cc = m + (x(n+1) – m)/2
and calculate f(cc). If f(cc) < f(x(n+1)), accept cc and terminate the iteration. Contract inside Otherwise, continue with Step 7 (Shrink).
Calculate the n points
v(i) = x(1) + (x(i) – x(1))/2
and calculate f(v(i)), i = 2,...,n+1. The simplex at the next iteration is x(1), v(2),...,v(n+1). Shrink
The following figure shows the points that
calculate in the procedure, along with each possible new simplex.
The original simplex has a bold outline. The iterations proceed until
they meet a stopping criterion.
 Lagarias, J. C., J. A. Reeds, M. H. Wright, and P. E. Wright. “Convergence Properties of the Nelder-Mead Simplex Method in Low Dimensions.” SIAM Journal of Optimization, Vol. 9, Number 1, 1998, pp. 112–147.