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Bad behavior of NMinimize for discontinuous functions

POSTED BY: Alexey Kushnir
10 Replies

It should be!

POSTED BY: Alexey Kushnir

I've often wondered why the info in that reference isn't in the NMinimize documentation.

POSTED BY: Frank Kampas

Thank you. This references is VERY helpful!

POSTED BY: Alexey Kushnir

The two methods have a number of options which you can adjust for better results.

https://reference.wolfram.com/language/tutorial/ConstrainedOptimizationGlobalNumerical.html

POSTED BY: Frank Kampas

Thank you! Results are not fantastic, but it gets closer to the minimum.

POSTED BY: Alexey Kushnir

You might get better results with Method -> "SimulatedAnnealing" or Method -> "DifferentialEvolution"

POSTED BY: Frank Kampas

I am not sure, what you mean. My function depends on 5 parameters that should be within [0,2Pi]. I am not sure how you propose to minimize for each interval separately

POSTED BY: Alexey Kushnir

Thank you for your interest. That is my first post and I did not knew about a code sample block. I updated post accordingly.

POSTED BY: Alexey Kushnir

It would be better if you put your Mathematica code into a code sample block, so it can be copied and pasted into Mathematica without error.

POSTED BY: Frank Kampas

Try to apply NMinimize separately to each piece of f[x]. Then choose global minimum result.

POSTED BY: S M Blinder
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