[Scilab-users] non linear optim

[paul.carrico at free.fr]

Hi All

I've ever been thinking that fminsearch uses Nelder-Mead algorthm i.e. 
it is an order 0 method (no gradient is needed to determine the local 
extremum) ; this is a personnal approach but I uses NeldeMead (with 
bounds and restarts) instead of fminsearch for a limited number of 
variables.

Nota bene : I'm still using Scilab 5.5.2 release

Paul



Le 2017-03-20 18:12, Tim Wescott a écrit :
> On Mon, 2017-03-20 at 08:53 -0700, David Chèze wrote:
>> Hi Paul,
>> 
>> the leastsq examples run properly on my machine, as well as other
>> tests with
>> simple functions inside.
>> 
>> I looked at leastsq first because of the minimal request very simple
>> way to
>> express the problem f=costf(X) with functions that are not quickly
>> vectorizable. Otherwise I was used to datafit. I saw in lsqrsolve
>> that we
>> need to provide the numbers of equations to run the solver, maybe
>> it's
>> similar for leastsq ? In my case the costf function evaluates the
>> model over
>> 7 tests, each test is 6 to 7 evaluations of different configurations.
>> I'm
>> limiting to 2 unknowns to calibrate in my model so the problem can be
>> solve
>> a priori  but leastsq is not informed of that a priori . 
>> 
>> and 
>> 
>> 
> 
> Hey David:
> 
> I think Paul is concerned that something broke in the transition from
> 5.x to 6.0.
> 
> I haven't used fminsearch, but it looks like it uses a significantly
> different algorithm than leastsq and optim (I believe that optim uses
> Newton's method, or perhaps a combination of Newton's method and
> gradient descent).  So it could just be that the underlying algorithm
> in fminsearch works better for your problem than the one for leastsq.
> 
> Looking at the relevant Wikipedia pages may suggest something:
> 
> https://en.wikipedia.org/wiki/Nelder%E2%80%93Mead_method  (fminsearch)
> https://en.wikipedia.org/wiki/Newton%27s_method_in_optimization (optim)
> 
> -- 
> 
> Tim Wescott
> www.wescottdesign.com
> Control & Communications systems, circuit & software design.
> Phone: 503.631.7815
> Cell:  503.349.8432
> 
> 
> 
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