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| function [lam,fval,exitflag,output]=fminsearchbnd(fonct,lam0,LB,UB,options,varargin)
% FMINSEARCHBND: FMINSEARCH, but with bound constraints by transformation
% usage: x=FMINSEARCHBND(fun,x0)
% usage: x=FMINSEARCHBND(fun,x0,LB)
% usage: x=FMINSEARCHBND(fun,x0,LB,UB)
% usage: x=FMINSEARCHBND(fun,x0,LB,UB,options)
% usage: x=FMINSEARCHBND(fun,x0,LB,UB,options,p1,p2,...)
% usage: [x,fval,exitflag,output]=FMINSEARCHBND(fun,x0,...)
%
% arguments:
% fun, x0, options - see the help for FMINSEARCH
%
% LB - lower bound vector or array, must be the same size as x0
%
% If no lower bounds exist for one of the variables, then
% supply -inf for that variable.
%
% If no lower bounds at all, then LB may be left empty.
%
% Variables may be fixed in value by setting the corresponding
% lower and upper bounds to exactly the same value.
%
% UB - upper bound vector or array, must be the same size as x0
%
% If no upper bounds exist for one of the variables, then
% supply +inf for that variable.
%
% If no upper bounds at all, then UB may be left empty.
%
% Variables may be fixed in value by setting the corresponding
% lower and upper bounds to exactly the same value.
%
% Notes:
%
% If options is supplied, then TolX will apply to the transformed
% variables. All other FMINSEARCH parameters should be unaffected.
%
% Variables which are constrained by both a lower and an upper
% bound will use a sin transformation. Those constrained by
% only a lower or an upper bound will use a quadratic
% transformation, and unconstrained variables will be left alone.
%
% Variables may be fixed by setting their respective bounds equal.
% In this case, the problem will be reduced in size for FMINSEARCH.
%
% The bounds are inclusive inequalities, which admit the
% boundary values themselves, but will not permit ANY function
% evaluations outside the bounds. These constraints are strictly
% followed.
%
% If your problem has an EXCLUSIVE (strict) constraint which will
% not admit evaluation at the bound itself, then you must provide
% a slightly offset bound. An example of this is a function which
% contains the log of one of its parameters. If you constrain the
% variable to have a lower bound of zero, then FMINSEARCHBND may
% try to evaluate the function exactly at zero.
%
%
% Example usage:
% rosen = @(x) (1-x(1)).^2 + 105*(x(2)-x(1).^2).^2;
%
% fminsearch(rosen,[3 3]) % unconstrained
% ans =
% 1.0000 1.0000
%
% fminsearchbnd(rosen,[3 3],[2 2],[]) % constrained
% ans =
% 2.0000 4.0000
%
% See test_main.m for other examples of use.
%
%
% See also: fminsearch, fminspleas
%
%
% Author: John D'Errico
% E-mail: woodchips@rochester.rr.com
% Release: 4
% Release date: 7/23/06
% size checks
lam0 = [0.01 0.05 0.05];
lamsize = size(lam0);
n=length(lam0);
if (nargin<3) || isempty(LB)
LB = repmat(-inf,n,1);
else
LB = LB(:);
end
if (nargin<4) || isempty(UB)
UB = repmat(inf,n,1);
else
UB = UB(:);
end
if (n~=length(LB)) || (n~=length(UB))
error 'lam0 is incompatible in size with either LB or UB.'
end
% set default options if necessary
if (nargin<5) || isempty(options)
options = optimset('fminsearch');
end
% stuff into a struct to pass around
params.args = varargin;
params.LB = LB;
params.UB = UB;
params.n = n;
% note that the number of parameters may actually vary if
% a user has chosen to fix one or more parameters
params.lamsize = lamsize;
params.OutputFcn = [];
% 0 --> unconstrained variable
% 1 --> lower bound only
% 2 --> upper bound only
% 3 --> dual finite bounds
% 4 --> fixed variable
params.BoundClass = zeros(n,1);
for i=1:n
k = isfinite(LB(i)) + 2*isfinite(UB(i));
params.BoundClass(i) = k;
if (k==3) && (LB(i)==UB(i))
params.BoundClass(i) = 4;
end
end
% transform starting values into their unconstrained
% surrogates. Check for infeasible starting guesses.
lam0u = lam0;
k=1;
for i = 1:n
switch params.BoundClass(i)
case 1
% lower bound only
if lam0(i)<=LB(i)
% infeasible starting value. Use bound.
lam0u(k) = 0;
else
lam0u(k) = sqrt(lam0(i) - LB(i));
end
% increment k
k=k+1;
case 2
% upper bound only
if lam0(i)>=UB(i)
% infeasible starting value. use bound.
lam0u(k) = 0;
else
lam0u(k) = sqrt(UB(i) - lam0(i));
end
% increment k
k=k+1;
case 3
% lower and upper bounds
if lam0(i)<=LB(i)
% infeasible starting value
lam0u(k) = -pi/2;
elseif lam0(i)>=UB(i)
% infeasible starting value
lam0u(k) = pi/2;
else
lam0u(k) = 2*(lam0(i) - LB(i))/(UB(i)-LB(i)) - 1;
% shift by 2*pi to avoid problems at zero in fminsearch
% otherwise, the initial simplex is vanishingly small
lam0u(k) = 2*pi+asin(max(-1,min(1,lam0u(k))));
end
% increment k
k=k+1;
case 0
% unconstrained variable. x0u(i) is set.
lam0u(k) = lam0(i);
% increment k
k=k+1;
case 4
% fixed variable. drop it before fminsearch sees it.
% k is not incremented for this variable.
end
end
% if any of the unknowns were fixed, then we need to shorten
% x0u now.
if k<=n
lam0u(k:n) = [];
end
% were all the variables fixed?
if isempty(lam0u)
% All variables were fixed. quit immediately, setting the
% appropriate parameters, then return.
% undo the variable transformations into the original space
lam = lamtransform(lam0u,params);
% final reshape
lam = reshape(lam,lamsize);
% stuff fval with the final value
fval = feval(lam,params.args{:});
% fminsearchbnd was not called
exitflag = 0;
output.iterations = 0;
output.funcount = 1;
output.algorithm = 'fminsearch';
output.message = 'All variables were held fixed by the applied bounds';
% return with no call at all to fminsearch
return
end
% Check for an outputfcn. If there is any, then substitute my
% own wrapper function.
if ~isempty(options.OutputFcn)
params.OutputFcn = options.OutputFcn;
options.OutputFcn = @outfonct_wrapper;
end
% now we can call fminsearch, but with our own
% intra-objective function.
[lamu,fval,exitflag,output] = fminsearch(@intrafonct,lam0u,options,params);
% undo the variable transformations into the original space
lam = lamtransform(lamu,params);
% final reshape to make sure the result has the proper shape
lam = reshape(lam,lamsize);
% Use a nested function as the OutputFcn wrapper
function stop = outfonct_wrapper(lam,varargin);
% we need to transform x first
lamtrans = lamtransform(lam,params);
% then call the user supplied OutputFcn
stop = params.OutputFcn(lamtrans,varargin{1:(end-1)});
end
end % mainline end
% ======================================
% ========= begin subfunctions =========
% ======================================
function fval = intrafonct(lam,params)
% transform variables, then call original function
% transform
lamtrans = lamtransform(lam,params);
% and call fun
fval = feval(reshape(lamtrans,params.lamsize),params.args{:});
end % sub function intrafun end
% ======================================
function lamtrans = lamtransform(lam,params)
% converts unconstrained variables into their original domains
lamtrans = zeros(params.lamsize);
% k allows some variables to be fixed, thus dropped from the
% optimization.
k=1;
for i = 1:params.n
switch params.BoundClass(i)
case 1
% lower bound only
lamtrans(i) = params.LB(i) + lam(k).^2;
k=k+1;
case 2
% upper bound only
lamtrans(i) = params.UB(i) - lam(k).^2;
k=k+1;
case 3
% lower and upper bounds
lamtrans(i) = (sin(lam(k))+1)/2;
lamtrans(i) = lamtrans(i)*(params.UB(i) - params.LB(i)) + params.LB(i);
% just in case of any floating point problems
lamtrans(i) = max(params.LB(i),min(params.UB(i),lamtrans(i)));
k=k+1;
case 4
% fixed variable, bounds are equal, set it at either bound
lamtrans(i) = params.LB(i);
case 0
% unconstrained variable.
lamtrans(i) = lam(k);
k=k+1;
end
end
end % sub function xtransform end |
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