Best optimization algorithm for minimization of a chi-square function with about 20 parameters
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Dear all,
I am faced to a minimization problem of a chi-square function with about 20 parameters. I would like to have advice on what is the best algorithm to solve the problem. I have tried fmisearch, which is ok if I run it twice. I can have access to the following toolbox:
- Global Optimization Toolbox
- Optimization Toolbox
Thanks for your help.
回答（1 个）
Alan Weiss
2017-1-30
Well, if your objective function is smooth, you might just want to use MultiStart along with fmincon or fminunc to minimize the function. I am assuming that there are multiple local minima and that you want a global solution. Or, for a local solution or to try things out, you could just try fmincon or fminunc starting from an appropriate initial point.
If your objective function is not smooth, then I suggest that you try patternsearch.
These suggestions are codified in the doc: for smooth functions, Optimization Decision Table, and for nonsmooth functions, Table for Choosing a Solver. By the way, there is an unfortunate typo in the latter page; the correct way to get initial points in bounded regions is to take
x0 = lb + rand(size(lb)).*(ub - lb);
Alan Weiss
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2017-1-30
2017-1-30
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