# Slsqp algorithm

NLopt includes implementations of a number of different optimization algorithms. These algorithms are listed below, including links to the original source code if any and citations to the relevant articles in the literature see Citing NLopt.

I apologize in advance to the authors for any new bugs I may have inadvertantly introduced into their code. Each algorithm in NLopt is identified by a named constant, which is passed to the NLopt routines in the various languages in order to select a particular algorithm.

For any given optimization problem, it is a good idea to compare several of the available algorithms that are applicable to that problem—in general, one often finds that the "best" algorithm strongly depends upon the problem at hand.

That is, ask how long it takes for the two algorithms to reach the same function value. Better yet, run some algorithm for a really long time until the minimum f M is located to high precision. All of the global-optimization algorithms currently require you to specify bound constraints on all the optimization parameters. However, any of them can be applied to nonlinearly constrained problems by combining them with the augmented Lagrangian method below. Something you should consider is that, after running the global optimization, it is often worthwhile to then use the global optimum as a starting point for a local optimization to "polish" the optimum to a greater accuracy.

Many of the global optimization algorithms devote more effort to searching the global parameter space than in finding the precise position of the local optimum accurately. These are deterministic-search algorithms based on systematic division of the search domain into smaller and smaller hyperrectangles.

The Gablonsky version makes the algorithm "more biased towards local search" so that it is more efficient for functions without too many local minima. NLopt contains several implementations of both of these algorithms. If your dimensions do not have equal weight, e. However, the unscaled variations make the most sense if any with the original DIRECT algorithm, since the design of DIRECT-L to some extent relies on the search region being a hypercube which causes the subdivided hyperrectangles to have only a small set of side lengths.

Finally, NLopt also includes separate implementations based on the original Fortran code by Gablonsky et al. These implementations have a number of hard-coded limitations on things like the number of function evaluations; I removed several of these limitations, but some remain. On the other hand, there seem to be slight differences between these implementations and mine; most of the time, the performance is roughly similar, but occasionally Gablonsky's implementation will do significantly better than mine or vice versa.

Most of the above algorithms only handle bound constraints, and in fact require finite bound constraints they are not applicable to unconstrained problems. They do not handle arbitrary nonlinear constraints.

My implementation of the "controlled random search" CRS algorithm in particular, the CRS2 variant with the "local mutation" modification, as defined by:. The CRS algorithms are sometimes compared to genetic algorithms, in that they start with a random "population" of points, and randomly "evolve" these points by heuristic rules.

In this case, the "evolution" somewhat resembles a randomized Nelder-Mead algorithm. The published results for CRS seem to be largely empirical; limited analytical results about its convergence were derived in:.

This is my implementation of the "Multi-Level Single-Linkage" MLSL algorithm for global optimization by a sequence of local optimizations from random starting points, proposed by:. We also include a modification of MLSL use a Sobol' low-discrepancy sequence LDS instead of pseudorandom numbers, which was argued to improve the convergence rate by:. In either case, MLSL is a "multistart" algorithm: it works by doing a sequence of local optimizations using some other local optimization algorithm from random or low-discrepancy starting points.

MLSL is distinguished, however by a "clustering" heuristic that helps it to avoid repeated searches of the same local optima, and has some theoretical guarantees of finding all local optima in a finite number of local minimizations.It can be used to solve nonlinear programming problems that minimize a scalar function:. It also includes some non-standard assumptions implicit saving of variables and initialization to zero. The refactored version includes some new features and bug fixes, including:.

So, the routine returns after called, requests data, and then is called again. Link to the reference is here I also updated the post. Jacob, Can you help me link your slsqp to the [slsqp.

This site uses Akismet to reduce spam. Learn how your comment data is processed. January 12, 12 Comments. The refactored version includes some new features and bug fixes, including: It is now thread safe. The original version was not thread safe due to the use of saved variables in one of the subroutines.

It now has an easy-to-use object-oriented interface. Methods include initializeoptimizeand destroy. The rest I did manually. The documentation strings in the code have been converted to FORD format, allowing for nicely formatted documentation to be auto-generated which includes MathJax formatted equations to replace the ASCII ones in the original code. It also generates ultra-slick call graphs like the one below.

Previous post. Next post. Thanks, Minh. Engineering Python 18A: Optimization using SciPy

It is powerful enough for real problems because it can handle any degree of non-linearity including non-linearity in the constraints. The main disadvantage is that the method incorporates several derivatives, which likely need to be worked analytically in advance of iterating to a solution, so SQP becomes quite cumbersome for large problems with many variables or constraints.

The method dates back to and was developed and refined in the 's. The abstracted, general problem below will be used for the remainder of this page to explain and discuss SQP: with f xh xand g x each potentially non-linear. The Lagrangian function combines all the information about the problem into one function using Lagrangian multipliers for equality constraints and for inequality constraints: A single function can be optimized by finding critical points where the gradient is zero.

This procedure now includes and as variables which are vectors for multi-constraint NLP. The third KKT condition is a bit trickier in that only the set of active inequality constraints need satisfy this equality, the active set being denoted by. Inequality constraints that are nowhere near the optimal solution are inconsequential, but constraints that actively participate in determining the optimal solution will be at their limit of zero, and thus the third KKT condition holds.

Ultimately, the Lagrangian multipliers describe the change in the objective function with respect to a change in a constraint, so is zero for inactive constraints, so those inactive constraints can be considered removed from the Lagrangian function before the gradient is even taken.

The active set method solves the KKT conditions using guess and check to find critical points. Guessing that every inequality constraints is inactive is conventionally the first step. After solving the remaining system forfeasibility can be checked. If any constraints are violated, they should be considered active in the next iteration, and if any multipliers are found to be negative, their constraints should be considered inactive in the next iteration. Efficient convergence and potentially large systems of equations are of some concern, but the main limitation of the active set method is that many of the derivative expressions in the KKT conditions could still be highly non-linear and thus difficult to solve.

Indeed, only quadratic problems seem reasonable to tackle with the active set method because the KKT conditions are linear. Sequential Quadratic Programming addresses this key limitation by incorporating a means of handling highly non-linear functions: Newton's Method. The main idea behind Newton's Method is to improve a guess in proportion to how quickly the function is changing at the guess and inversely proportional to how the function is accelerating at the guess.

Walking through a few extreme scenarios makes this approach more intuitive: a long, steep incline in a function will not be close to a critical point, so the improvement should be large, and a shallow incline that is rapidly expiring is likely to be near a critical point, so the improvement should be small. The iterations converge to critical values of any function with improvement steps that follow the form below: The negative sign is important.

Near minimums, a positive gradient should decrease the guess and vice versa, and the divergence is positive.

Near maximums, a positive gradient should increase the guess and vice versa, but the divergence is negative. This sign convention also prevents the algorithm from escaping a single convex or concave region; the improvement will reverse direction if it overshoots. This is an important consideration in non-convex problems with multiple local maximums and minimums.

### NLopt Algorithms

Newton's method will find the critical point closest to the original guess. Incorporating Newton's Method into the active set method will transform the iteration above into a matrix equation. Critical points of the objective function will also be critical points of the Lagrangian function and vice versa because the Lagrangian function is equal to the objective function at a KKT point; all constraints are either equal to zero or inactive.

The algorithm is thus simply iterating Newton's method to find critical points of the Lagrangian function. Since the Lagrangian multipliers are additional variables, the iteration forms a system:. Recall: Then Unlike the active set method, the need to ever solve a system of non-linear equations has been entirely eliminated in SQP, no matter how non-linear the objective and constraints.

Theoretically, If the derivative expressions above can be formulated analytically then coded, software could iterate very quickly because the system doesn't change.

In practice, however, it is likely that the divergence will not be an invertible matrix because variables are likely to be linearly bound from above and below. The improvement direction "p" for the Newton's Method iterations is thus typically found in a more indirect fashion: with a quadratic minimization sub-problem that is solved using quadratic algorithms.

The subproblem is derived as follows: Since p is an incremental change to the objective function, this equation then resembles a two-term Taylor Series for the derivative of the objective function, which shows that a Taylor expansion with the increment p as a variable is equivalent to a Newton iteration. Decomposing the different equations within this system and cutting the second order term in half to match Taylor Series concepts, a minimization sub-problem can be obtained.

This problem is quadratic and thus must be solved with non-linear methods, which once again introduces the need to solve a non-linear problem into the algorithm, but this predictable sub-problem with one variable is much easier to tackle than the parent problem.

This example problem was chosen for being highly non linear but also easy to solve by inspection as a reference.By using our site, you acknowledge that you have read and understand our Cookie PolicyPrivacy Policyand our Terms of Service.

Cross Validated is a question and answer site for people interested in statistics, machine learning, data analysis, data mining, and data visualization. It only takes a minute to sign up. I'm looking at the documentation for scipy's optimize minimize module as seen here. Scipy is a module of python, which is a programming language afterall, why do we need to provide that for the module; it seems uncharacteristic of a language that is usually very intuitive and elegant.

Here are some of my guesses thus far:. The gradient can be estimated via some methods, but these methods are likely less optimal than giving the actual formula for the gradient.

Thus, providing a callable derivative function to the minimization method is likely done to improve convergence. Sign up to join this community. The best answers are voted up and rise to the top. Home Questions Tags Users Unanswered. Why take the derivative when using slsqp algoritm? Ask Question. Asked 2 years, 7 months ago. Active 2 years, 7 months ago. Viewed times. The problem supposes a function as well as two constraints. My question is: Why are they taking the derivative at all?

Here are some of my guesses thus far: If you were optimizing by hand, then you could imagine they wanted to set the derivative to zero and solve for x, but that does not seem to be what they are doing, so maybe this is not the reason. Or perhaps the derivative is needed because they intend to maximize the function using the minimize module, which requires a bit of craftiness?

When we don't know or can't calculate the gradient? Or is it just lower on the optimization totem pole so to speak? I unfortunately have little experience comparing the different optimization methods, maybe the documentation for minimize 's links to the different methods can help you?

Stack Overflow for Teams is a private, secure spot for you and your coworkers to find and share information. I am just looking at the common paraboloid example, which has 2 design variables and aims to minimise f, without any constraints. By printing out the values of x,y and f for each iteration iteration is probably not the right word for thisI can see that occasionally the first derivative is evaluated using forward finite difference for each design variable x, y.

These derivatives are then used to find the next x and y values, however I cannot see the pattern. However, I do not see it being calculated. Let me give an example of my output:. Also, sometimes a large step is taken without even calculating the derivatives at that point. Possibly because the previous step was too large resulting in the function going away from the minimum. I am hoping someone can explain to me or give a useful source for the exact algorithm that is used, or give any tips that could be used to better understand it.

Sign up using Facebook. Sign up using Email and Password. Post as a guest Name. Email Required, but never shown. The Overflow Blog. The Unfriendly Robot: Automatically flagging unwelcoming comments. Featured on Meta. Community and Moderator guidelines for escalating issues via new response….Sequential quadratic programming SQP is an iterative method for constrained nonlinear optimization.

SQP methods are used on mathematical problems for which the objective function and the constraints are twice continuously differentiable. SQP methods solve a sequence of optimization subproblems, each of which optimizes a quadratic model of the objective subject to a linearization of the constraints. If the problem is unconstrained, then the method reduces to Newton's method for finding a point where the gradient of the objective vanishes. If the problem has only equality constraints, then the method is equivalent to applying Newton's method to the first-order optimality conditions, or Karush—Kuhn—Tucker conditionsof the problem.

Consider a nonlinear programming problem of the form:. The Lagrangian for this problem is . There also exist numerous software libraries, including open source:. From Wikipedia, the free encyclopedia. This article provides insufficient context for those unfamiliar with the subject. Please help improve the article by providing more context for the reader. October Learn how and when to remove this template message. Wright Numerical Optimization. Transactions on Mathematical Software. Retrieved 1 February Optimization : Algorithmsmethodsand heuristics. Unconstrained nonlinear. Golden-section search Interpolation methods Line search Nelder—Mead method Successive parabolic interpolation.

Trust region Wolfe conditions. Newton's method. Constrained nonlinear. Barrier methods Penalty methods. Augmented Lagrangian methods Sequential quadratic programming Successive linear programming.The scipy. A detailed listing is available: scipy. Unconstrained and constrained minimization of multivariate scalar functions minimize using a variety of algorithms e. Global optimization routines e. Multivariate equation system solvers root using a variety of algorithms e.

The minimize function provides a common interface to unconstrained and constrained minimization algorithms for multivariate scalar functions in scipy. Note that the Rosenbrock function and its derivatives are included in scipy. The implementations shown in the following sections provide examples of how to define an objective function as well as its jacobian and hessian functions. In the example below, the minimize routine is used with the Nelder-Mead simplex algorithm selected through the method parameter :.

The simplex algorithm is probably the simplest way to minimize a fairly well-behaved function. It requires only function evaluations and is a good choice for simple minimization problems. However, because it does not use any gradient evaluations, it may take longer to find the minimum.

In order to converge more quickly to the solution, this routine uses the gradient of the objective function. If the gradient is not given by the user, then it is estimated using first-differences. The Broyden-Fletcher-Goldfarb-Shanno BFGS method typically requires fewer function calls than the simplex algorithm even when the gradient must be estimated.

To demonstrate this algorithm, the Rosenbrock function is again used. The gradient of the Rosenbrock function is the vector:. This gradient information is specified in the minimize function through the jac parameter as illustrated below.

If the Hessian is positive definite then the local minimum of this function can be found by setting the gradient of the quadratic form to zero, resulting in. The inverse of the Hessian is evaluated using the conjugate-gradient method. An example of employing this method to minimizing the Rosenbrock function is given below. To take full advantage of the Newton-CG method, a function which computes the Hessian must be provided.

The Hessian matrix itself does not need to be constructed, only a vector which is the product of the Hessian with an arbitrary vector needs to be available to the minimization routine. As a result, the user can provide either a function to compute the Hessian matrix, or a function to compute the product of the Hessian with an arbitrary vector. Other non-zero entries of the matrix are.

The code which computes this Hessian along with the code to minimize the function using Newton-CG method is shown in the following example:. For larger minimization problems, storing the entire Hessian matrix can consume considerable time and memory.

The Newton-CG algorithm only needs the product of the Hessian times an arbitrary vector. As a result, the user can supply code to compute this product rather than the full Hessian by giving a hess function which take the minimization vector as the first argument and the arbitrary vector as the second argument along with extra arguments passed to the function to be minimized. If possible, using Newton-CG with the Hessian product option is probably the fastest way to minimize the function. In this case, the product of the Rosenbrock Hessian with an arbitrary vector is not difficult to compute.

Code which makes use of this Hessian product to minimize the Rosenbrock function using minimize follows:. According to [NW] p. The method trust-ncgaccording to the authors, deals more effectively with this problematic situation and will be described next. The Newton-CG method is a line search method: it finds a direction of search minimizing a quadratic approximation of the function and then uses a line search algorithm to find the nearly optimal step size in that direction.

This family of methods is known as trust-region methods. The trust-ncg algorithm is a trust-region method that uses a conjugate gradient algorithm to solve the trust-region subproblem [NW].

Similar to the trust-ncg method, the trust-krylov method is a method suitable for large-scale problems as it uses the hessian only as linear operator by means of matrix-vector products. It solves the quadratic subproblem more accurately than the trust-ncg method.