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Using NMinimize over (non-convex) large problems

Posted 1 year ago

Hi everyone. I am using Mathematica for determining the minimum of a (quadratic) objective function with highly non-linear non-convex constraints.

NMinimize behaves incredibly good obtaining quite quickly a good solution. I am printing the different iterations through this small script, which I pass to NMinimize with the StepMonitor option:

PrintPartialResult[iteration_, vars_] :=
  With[{fnValue = f[vars], varsValue = vars},
    Print["Iteration ", iteration, ": f(x) = ", fnValue, ", x = ", varsValue];
  ];

Nevertheless, I can see the partial solution thanks to my function, but NMinimize never stops. Specifically, it is stuck hours to iteration number 79, without giving any sign of activity.

Iteration 79: f(x) = 47.453, x = {16.7527,16.1282,18.6935,18.08,20.,2.66891,-1.87742,1.558,-2.16486,1.30133,13.9986,10.6828,10.6557,7.27774,12.1766}

Do you know what NMinimize is trying to do? Do you have any idea on how to help NMinimize exit once it got a decently good output?

Thank you very much for your help and sorry about the silly questions, I am still a beginner!
Cheers!

POSTED BY: Christian Vitale
3 Replies

Check tutorial/ConstrainedOptimizationGlobalNumerical to see how to use "PostProcess->False" method suboption.

POSTED BY: Daniel Lichtblau

It will be difficult to diagnose without full code to reproduce the behavior. As a guess, possibly it is hanging in a local optimizer used as a post-processing step.

POSTED BY: Daniel Lichtblau

Hi Daniel!

Thank you for your reply. Can you tell me if it is possible to expedite the process? Can I use some option to make him stop early? The solution it got is already very good, and I would like the code to move forward. Maybe AccuracyGoal could help? What about WorkingAccuracy?

Thank you very much for the support, Christian

POSTED BY: Christian Vitale
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