fminunc limit step size

Question

Jose M Soler 2024-6-14

0
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此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/2128661-fminunc-limit-step-size

编辑： Matt J 2024-6-14

I am exploring fminunc with a 2-D but challenging function (see below), with a narrow and curved "canyon". Some times it works fine, descending to the bottom of the canyon and following it until the minimum. But at other starting points it makes a huge initial step that brings it nowhere. Isn't there any way to limit the step size? Notice that first and second derivatives are analytic, i.e. no finite differences.

% spiralFuncion.m
% A challenging function to minimize in 2D
% JMS, Jun.2024
clear all
% Find function in a mesh
dx = 0.05;
xmax = 2.5;
x = -xmax:dx:xmax;
nx = numel(x);
[x,y] = ndgrid(x,x);
z = myfunc([x(:)';y(:)']);
z = reshape(z,nx,nx);
% Find minimum value at mesh points
i0 = find(z(:)==min(z(:)));
xmin = [x(i0),y(i0)]
zmin = z(i0)
% Plot function using surf and contour
figure(1)
contour(x',y',z',20), axis equal
hold on, plot(xmin(1),xmin(2),'x','MarkerSize',10), hold off
grid on
figure(2)
surf(x',y',z')
grid on
% Set minimization options
opt = optimoptions('fminunc');
opt = optimoptions(opt,'Algorithm','trust-region');
opt = optimoptions(opt,'SubproblemAlgorithm','factorization');
opt = optimoptions(opt,'SpecifyObjectiveGradient',true);
opt = optimoptions(opt,'HessianFcn','objective');
opt = optimoptions(opt,'MaxIterations',1e3);
opt = optimoptions(opt,'MaxFunctionEvaluations',1e3);
opt = optimoptions(opt,'Display','none');
% Minimize function starting from a random point
x0 = randn(2,1);
[x,f,exitflag,output] = fminunc(@myfunc,x0,opt);
niter = output.iterations
fprintf('\n%s\n',output.message)
% Find minimization path
for iter = 1:niter
    opt = optimoptions(opt,'MaxIterations',iter);
    xpath(:,iter) = fminunc(@myfunc,x0,opt);
end
% opt = optimoptions(opt,'MaxIterations',1);
% xpath(:,1) = fminunc(@myfunc,x0,opt);
% for iter = 2:niter
%   xpath(:,iter) = fminunc(@myfunc,xpath(:,iter-1),opt);
% end
% Plot minimization path
figure(1)
hold on, 
plot([x0(1),xpath(1,:)],[x0(2),xpath(2,:)],'r.-','LineWidth',2,'MarkerSize',15)
plot(x(1),x(2),'.b','MarkerSize',20)
hold off
%---------------------------------
function [f,DfDx,D2fDx2] = myfunc(x)
a = 1;  % smaller a => harder to minimize
r = sqrt(x(1,:).^2+x(2,:).^2);
s = atan2(x(2,:),x(1,:));
rs = 2*pi*r+s;
f = r.*exp(-a*r).*cos(rs);
% Firts derivatives
ts = x(2,:)./x(1,:);         % ts=tan(s)
trs = tan(rs);
DtsDs = 1+ts.^2;
DtrsDrs = 1+trs.^2;
DsDts = 1./DtsDs;
DrsDr = 2*pi;
DrsDs = 1;
DrDx = x./r;
DtsDx = [ -x(2,:)./x(1,:).^2; 1./x(1,:) ];
DsDx = DsDts.*DtsDx;
DfDr = f./r - a*f - f.*trs.*DrsDr;
DfDs = -f.*trs.*DrsDs;
DfDx = DfDr.*DrDx + DfDs.*DsDx;
% Second derivatives
nx = size(x,2);
D2tsDs2 = 2*ts.*DtsDs;
D2trsDrs2 = 2*trs.*DtrsDrs;
D2rsDr2 = 0;
D2rsDs2 = 0;
D2rsDrDs = 0;
% note: d2x/dy2 = d(dy/dx)^-1/dy = d(dy/dx)^-1/dx * dx/dy = 
%               = -(dy/dx)^-2 * d2y/dx2 * (dy/dx)^-1 = -(dy/dx)^-3 * d2y/dx2
D2sDts2 = -D2tsDs2./DtsDs.^3;
D2fDr2 = DfDr./r - f./r.^2 - a*DfDr - DfDr.*trs.*DrsDr ...
    - f.*DtrsDrs.*DrsDr.^2 - f.*trs.*D2rsDr2;
D2fDs2  = - DfDs.*trs.*DrsDs - f.*DtrsDrs.*DrsDs.^2 ...
    - f.*trs.*D2rsDs2;
D2fDrDs = - DfDr.*trs.*DrsDs - f.*DtrsDrs.*DrsDr.*DrsDs ...
    - f.*trs.*D2rsDrDs;
for ix = 1:nx
    D2rDx2 = eye(2)/r(ix) - x(:,ix).*x(:,ix)'/r(ix)^3;
    D2tsDx2 = [ +2*x(2,ix)/x(1,ix).^3, -1/x(1,ix)^2
        -1/x(1,ix).^2,            0 ];
    D2sDx2 = D2sDts2(ix)*DtsDx(:,ix).*DtsDx(:,ix)' + DsDts(ix)*D2tsDx2;
    D2fDx2(:,:,ix) = D2fDr2(ix) *DrDx(:,ix).*DrDx(:,ix)' ...
        + D2fDs2(ix) *DsDx(:,ix).*DsDx(:,ix)' ...
        + D2fDrDs(ix)*DrDx(:,ix).*DsDx(:,ix)' ...
        + D2fDrDs(ix)*DsDx(:,ix).*DrDx(:,ix)' ...
        + DfDr(ix)*D2rDx2 + DfDs(ix)*D2sDx2;
end
end

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Matt J 2024-6-14

You are using a very inefficient method to obtain xpath. You should just use an OutputFcn to save the iteration history, like in this example. That way, you only have to run the optimization once.

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