Optimizing function of functions

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Saifullah Khalid 2020-3-16

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https://ww2.mathworks.cn/matlabcentral/answers/511047-optimizing-function-of-functions

评论： Walter Roberson 2020-3-17

采纳的回答： Alan Weiss

I am trying to optimize two functions

and

where. The function

is a subfunction of

means the results of

are input to

.

I am curious whether it is better to optimize a sum of the functions e.g.

or I can co-optimize the functions as

additionally depends on w. I am inclined to co-optimization but not sure if optimizing the sum of functions is a better or mandatory approach for this problem. I would appreciate any guidance, comments or helpful literature references.

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Walter Roberson 2020-3-16

在 MATLAB Online 中打开

Earlier you talked about maximizing sum f+E but here you talk about maximizing difference f-E . Typically expense would be stated as positive, so f-E would make the most sense. To maxize that you would want to maximize f while minimizing E. With gamultiobj, you maximize by minimizing the negative, so you can

 gamultiobj(@(xyw) [-f(xyw(1),xyw(2)), E(xyw(1),xyw(2),p(xyw(1),xyw(2),xyw(3))))], ...)
     

This would find sets of values xyw such that the gradient of [-f, E] is locally 0

Or you could use a minimzer on

@(xyw) -f(xyw(1),xyw(2)) + E(xyw(1),xyw(2),p(xyw(1),xyw(2),xyw(3))))

gamultiobj can potentially give you multiple results; a minimizer would give you a single result. Minimizers tend to get stuck in local minima, especially if you use fmincon(), less so (but still a problem) with fminsearch(), and less yet with ga() . But ga() is not efficient, and fminsearch() does not permit constraints.

Why would you prefer one over the other? Well, getting the pareto front can tell you about multiple configurations that are each optimal, permitting you to choose the best one for your resources. A minimizer is not going to care about small issues like the optimal demanding more energy per second than the Sun puts out in a year -- not unless you put in constraints. fmincon() is the best organized for being rigourous about constriants.

Saifullah Khalid 2020-3-17

Walter Roberson, thank you very much detailed asnswer. "Why would you prefer one over the other? Well, getting the pareto front can tell you about multiple configurations that are each optimal, permitting you to choose the best one for your resources."

The resonse is convincing and is what I am actually looking for. But, is there any mathematical limitation on optimizing the composit function (profit) becuase of the fact that E depends on

or it does not has any bearing?

Walter Roberson 2020-3-17

It doesn't matter. All gamultiobj cares about is that it can place a call through the function handle and get back a vector of results. It does not care how many function calls that uses.

Consider for example that

F = @(X, Y, W) X.^2 + Y.^2 + (X-Y-W).^2

can be rewritten as

P = @(X,Y,W) (X-Y-W).^2

F = @(X,Y,W) X.^2 + Y.^2 + P(X, Y, W)

which can in turn be rewritten as

F = @(X, Y, W, Q) X.^2 + Y.^2 + Q(X, Y, W)

Called with (x, y, w, P)

obviously this is just an implementation detail as far as the mathematics is concerned.

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Answer 1

Alan Weiss 2020-3-17

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https://ww2.mathworks.cn/matlabcentral/answers/511047-optimizing-function-of-functions#answer_420440

You could use the approach in Generate and Plot a Pareto Front. Or you could try using a multiobjective solver, if you have a Global Optimization Toolbox license. As usual, Walter has good ideas.

Alan Weiss

MATLAB mathematical toolbox documentation

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Saifullah Khalid 2020-3-17

Alan Weiss, thank you very much for response. Luckily, I have licence for Global Optimization Tool Box and will utilize it as needed. can you please have a look on the last comment I posted in response to @Walter Roberson comment.

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