bugGNU Octave - Bugs: bug #35333, [octave forge] (optim) implement...

 
 

bug #35333: [octave forge] (optim) implement fmincon via a wrapper for sqp

Submitted by:  Ben Abbott <bpabbott>
Submitted on:  Fri 20 Jan 2012 01:56:00 AM UTC  
 
Category:  Octave Forge Package Severity:  1 - Wish
Priority:  3 - Low Item Group:  Feature Request
Status:  Confirmed Assigned to:  None
Originator Name:  Ben Abbott Open/Closed:  Open
Release:  dev Operating System:  Any

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Fri 26 Oct 2018 03:13:48 PM UTC, comment #5:

Thanks for the info. I wasn't aware of the capabilities of nonlin_min.

Yes, I understand that fmincon in Matlab provides multiple algorithms to choose from. My goal was primarily to get something started that would provide a compatible interface, even if only one requested method is implemented. My idea was that until other methods were implemented, the others could warn and use the only available method and that other issues can be fixed later.

If nonlin_min already provides multiple methods, then we could certainly use that. I'm not looking to provide an fmincon functoin that competes with anything. I would just like to have a function with an interface compatible with fmincon, at least as much as possible.

If there are compatibility problems with sqp or other algorithms, then we can address those problems individually. I'm not expecting this job to be done all at once. Any help you can offer would be welcome, but I am certainly not expecting you (or anyone else) to do the work. I asked here to see if I could get some feedback.

John W. Eaton <jwe>
Project Administrator
Fri 26 Oct 2018 09:25:52 AM UTC, comment #4:

Matlabs fmincon is rather an interface to different algorithms, which one can choose from. There is an alternative to fmincon in the optim package, called nonlin_min (one of its possible algorithms is just a wrapper to Octaves sqp). I valued some details in the design of nonlin_min higher than making an interface compatible to fmincon. If such compatibility is still required, I thought, it can be achieved with a wrapper to nonlin_min.

If wrapping just sqp suffices depends on how much compatibility you want. No choice between algorithms, of course. Returning lambda in a compatible way won't work due to some ordering problem in sqp (fixable in sqp? Asma interfaced Octaves _qp_ directly to work around this problem for quadprogn).

What I wouldn't suggest is trying to make a fully fledged comprehensive implementation of fmincon within Octave, 'competing' with optims nonlin_min. But well...

If you think it's important I could try to complete Asmas nonlin_min wrapper, thereby fixing necessary things in the backends. It'll take some time, since currently I've only 3 days per week when I can spend a little time for Octave. The other possibility (or a preliminary solution?) is to implement only a basic fmincon in Octave, wrapping sqp (or _qp_, for lambda).

Olaf Till <i7tiol>
Project Member
Mon 22 Oct 2018 09:15:56 PM UTC, comment #3:

I also have a wrapper from some years ago that I was planning to use, but then found this bug report. Either way, I'd like to get a compatible fmincon function in Octave or the optim package. I'll take a look at the GSoC work and merge with my code.

Comments?

John W. Eaton <jwe>
Project Administrator
Fri 18 Nov 2016 10:33:59 PM UTC, comment #2:

Work for this was done under GSoC 2016, see https://github.com/AsmaAfzal/octave_workspace/blob/master/fmincon.m for the current work done so far. It has not yet been incorporated into the optim package.

Mike Miller <mtmiller>
Project Administrator
Mon 28 Oct 2013 02:45:16 AM UTC, comment #1:

Recategorizing for Octave Forge, this could be added to the optim package, right?

If the wrapper is simple enough I suppose it could be implemented in Octave itself, feel free to update if that is the case.

Mike Miller <mtmiller>
Project Administrator
Fri 20 Jan 2012 01:56:00 AM UTC, original submission:

Can an m-file wrapper be written to implement an optimization function that would be compatible with Matlab's fmincon() ?

http://www.mathworks.com/help/toolbox/optim/ug/fmincon.html

Ben Abbott <bpabbott>
Project Member

 

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    Follow 6 latest changes.

    Date Changed by Updated Field Previous Value => Replaced by
    2017-08-13 jwe Summaryoptim package: implement fmincon via a wrapper for sqp => [octave forge] (optim) implement fmincon via a wrapper for sqp
    2016-11-18 mtmiller Priority5 - Normal => 3 - Low
        Summaryimplement fmincon via a wrapper for sqp => optim package: implement fmincon via a wrapper for sqp
    2013-10-28 mtmiller CategoryInterpreter => Octave Forge Package
        Severity3 - Normal => 1 - Wish
        StatusNone => Confirmed

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