Preallocation within an optimization loop

Question

Barend Kok 2020-11-24

0
链接

此问题的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/660238-preallocation-within-an-optimization-loop

评论： Barend Kok 2020-11-24

Hi everyone,

Bear with me, since I am new to Matlab. But I am doing some monte carlo analysis of an (economic) optimization problem. Which looks as follows:

          runs = 1000;
          nsamples = 1:runs;              
for i = 1:length(nsamples)
    
    
    % Distributions
    price_B     = random(dist_price_B);
    yield_B     = random(dist_yield_B);
    seedc_B     = random(dist_seedc_B);
    fertc_B     = random(dist_fertc_B);
    herbc_B     = random(dist_herbc_B);
    prot_cont_B = random(dist_prot_cont_B);
    yield_CD    = random(dist_yield_CD);
    
    % Intermediates profit function
    benefitkg_B     = price_B + nit_fix_B;
    benefitha_B     = yield_B * benefitkg_B + subs_B;
    costha_B        = seedc_B + fertc_B + herbc_B;
    benefitl_CD     = price_CD;
    benefitha_CD    = yield_CD * density_C * benefitl_CD;
    benefitkg_CM    = price_CM;
    benefitha_CM    = yield_CM * density_C * benefitkg_CM;
    benefitha_C     = benefitha_CD + benefitha_CM;
    costcow_C       = initialc_C + feedc_C + operatc_C;
    costha_C        = costcow_C * density_C;
    
    % Intermediates protein supply
    prot_supply_B   = yield_B * prot_cont_B;
    prot_supply_C   = density_C * (yield_CD * prot_cont_CD + yield_CM * prot_cont_CM);
    prot_supply     = @(x)(x(1) * prot_supply_B + x(2) * prot_supply_C);     
    
   
    % Profit function, minimizing this is the objective.
    Total_Profit = @(x)(-1 * (x(1) * (benefitha_B - costha_B) + x(2) * (benefitha_C - costha_C)));
   
    % Inputs for fmincon. 
    Guess   = [1 0];
    LB      = [0, 0];
    UB      = [1, 1];
    A       = [-prot_supply_B, -prot_supply_C];     % A*x <= b --> protein_supply >= protein_demand --> -protein_supply <= -protein_demand
    b       = -1000;                                % -(x(1) * prot_supply_B + x(2) * prot_supply_C) <= b
    Aeq     = [1, 1];                               % x(1) + x(2) = 1
    beq     = 1;
    
    
    
    
    % Minimization
    xopt (i, :) = fmincon(Total_Profit,Guess,A,b,Aeq,beq,LB,UB,[],options);
    
    % Create the value for total profit over the years and plot
    Total_Private_Profit (i, :) = - Total_Profit (xopt);

The code runs perfectly and gives me the output I need (I left the plotting of histograms and other non-important stuff out).

A warning tells me to pre-allocate both 'xopt' and 'Total_Private_Profit' to save time. But as I am trying to do so, the outcomes change and become unreasonable.

My question is therefore: How should I preallocate 'xopt' and 'Total_Private_Profit' properly without screwing the outcomes?

Thank you in advance.

Barend

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Answer 1

Matt J 2020-11-24

0
链接

此回答的直接链接

https://ww2.mathworks.cn/matlabcentral/answers/660238-preallocation-within-an-optimization-loop#answer_554363

编辑：Matt J 2020-11-24

在 MATLAB Online 中打开

xopt=nan(runs,2);                     %Pre-allocate
Total_Private_Profit=nan(runs,2);     %Pre-allocate
          
for i = 1:length(nsamples)
    
    ...
     
    xopt(i, :) = fmincon(Total_Profit,Guess,A,b,Aeq,beq,LB,UB,[],options);
    
    % Create the value for total profit over the years and plot
    Total_Private_Profit(i, :) = -Total_Profit (xopt);
    
end