线性规划及其非线性规划算法以及其软件求解.ppt

“备”则“倍” 有准备、有规划的人生更精彩！ 约束优化问题 fmincon 约束优化问题 fmincon 约束优化问题 fmincon 约束优化问题 fmincon 约束优化问题 fmincon 约束优化问题 fmincon 约束优化问题 fmincon Output Arguments 约束优化问题 fmincon 约束优化问题 fmincon 约束优化问题 fmincon Algorithm Large-Scale Optimization. By default fmincon will choose the large-scale algorithm if the user supplies the gradient in fun (and GradObj is on in options) and if only upper and lower bounds exist or only linear equality constraints exist. This algorithm is a subspace trust region method and is based on the interior-reflective Newton method .Each iteration involves the approximate solution of a large linear system using the method of preconditioned conjugate gradients (PCG). 约束优化问题 fmincon Medium-Scale Optimization fmincon uses a Sequential Quadratic programming (SQP) method. In this method, a Quadratic Programming (QP) subproblem is solved at each iteration. An estimate of the Hessian of the Lagrangian is updated at each iteration using the BFGS formula. 约束优化问题 fmincon A line search is performed using a merit function similar to that proposed by [4], [5], and [6]. The QP subproblem is solved using an active set strategy similar to that described in [3]. 约束优化问题 fmincon 约束优化问题 fmincon 约束优化问题 fmincon Warning: Large-scale (trust region) method does not currently solve this type of problem, switching to medium-scale (line search). Optimization terminated successfully: No Active Constraints x = 0.0000 -0.0000 14.2124 fval = 2.7069e-009 约束优化问题 fmincon exitflag = 1 output = iterations: 5 funcCount: 31 stepsize: 1 algorithm: medium-scale: SQP, Quasi-Newton, line-search‘ firstorderopt: 1.4794e-004 cgiterations: [] lambda = lower: [3x1 double] upper: [3x1 double] eqlin: [0x1 double] eqnonlin: [0x1 double] ineqlin: [2x1 double] ineqnonlin: [0x1 double] 约束优化问题 fmincon grad = 1.0e-003 * 0.1479 0.0006 0 hessian = 6.0076 2.0257 0.3049 2.0257 2.0