[Scilab-users] fmincon toolbox update

[CHEZE David 227480]

Dear Stephane,

Thank you for offering these enhanced capabilities in Scilab, fmincon and SciIPOpt. I'm about giving a try in comparison with leastsq(), on dynamic model parameter (~5-10) calibration purpose, based on measurement deviation, as time series (250 to >1000 samples). In general for fmincon and SciIPOpt, may I provide the objective function with inputs argument through the list() syntax like objf=list(myofunction,x,in1,in2,..) ?

Thank you for your advice,

David


-----Message d'origine-----
De : users <users-bounces at lists.scilab.org> De la part de Stéphane Mottelet
Envoyé : lundi 19 avril 2021 10:43
À : Users mailing list for Scilab <users at lists.scilab.org>
Objet : [Scilab-users] fmincon toolbox update

Hi all,

I would like to inform you that the fmincon toolbox has been updated
(https://atoms.scilab.org/toolboxes/fmincon/1.0.2) and now includes a major feature:  the Efficient Computation of Sparse Hessian using Coloring algorithm (scicolpack is now a  dependency of fmincon). This feature was missing and now allows fmincon to consider really big problems. A example of such is given in the "minimal surface demo" which compares 3 different approaches of the problem: one with finite differences gradient, and BFGS Hessian, one with exact gradient and BFGS Hessian, and the last with exact gradient and finite differences sparse Hessian. The time factor between the first and the third approchach is around 200 for a 21x21 square but you can edit the demo file and increase this value. For a 51x51 square the third approach takes only
0.45 seconds and is 2500 times faster. For a 101x101 square the first approach takes forever and the third ones takes less than 2 seconds and is still 10 times faster than the second one.

If some of you still use other softwares for large scale optimization, maybe you can now give Scilab a try. If you need a better control on parameters and/or if you are not a former/actual user of Matlab's fmincon, I recommend using directly ipopt (from sci_ipopt toolbox). But the fmincon api is quite easy to use. Don't hesitate to took at the code of the several new demos.

Don't hesitate to contact me if you have some problems using fmincon of just to say that you are using it with success !

Regards,

--
Stéphane Mottelet
Ingénieur de recherche
EA 4297 Transformations Intégrées de la Matière Renouvelable Département Génie des Procédés Industriels Sorbonne Universités - Université de Technologie de Compiègne CS 60319, 60203 Compiègne cedex Tel : +33(0)344234688 http://www.utc.fr/~mottelet

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