Home > Libraries > Optimizers > fmincgtrust.m

iFit/fmincgtrust

PURPOSE ^

[MINIMUM,FVAL,EXITFLAG,OUTPUT] = fmincgtrust(FUN,PARS,[OPTIONS],[CONSTRAINTS], ...) Steihaug Newton-CG-Trust region algorithm

SYNOPSIS ^

function [pars,fval,exitflag,output] = fmincgtrust(varargin)

DESCRIPTION ^

 [MINIMUM,FVAL,EXITFLAG,OUTPUT] = fmincgtrust(FUN,PARS,[OPTIONS],[CONSTRAINTS], ...) Steihaug Newton-CG-Trust region algorithm

 This minimization method uses the Steihaug Newton-Conjugate-Gradient-Trust region algorithm
 
 Calling:
   fmincgtrust(fun, pars) asks to minimize the 'fun' objective function with starting
     parameters 'pars' (vector)
   fmincgtrust(fun, pars, options) same as above, with customized options (optimset)
   fmincgtrust(fun, pars, options, fixed) 
     is used to fix some of the parameters. The 'fixed' vector is then 0 for
     free parameters, and 1 otherwise.
   fmincgtrust(fun, pars, options, lb, ub) 
     is used to set the minimal and maximal parameter bounds, as vectors.
   fmincgtrust(fun, pars, options, constraints) 
     where constraints is a structure (see below).
   fmincgtrust(problem) where problem is a structure with fields
     problem.objective:   function to minimize
     problem.x0:          starting parameter values
     problem.options:     optimizer options (see below)
     problem.constraints: optimization constraints
   fmincgtrust(..., args, ...)
     sends additional arguments to the objective function
       criteria = FUN(pars, args, ...)

 Example:
   banana = @(x)100*(x(2)-x(1)^2)^2+(1-x(1))^2;
   [x,fval] = fmincgtrust(banana,[-1.2, 1])

 Input:
  FUN is the function to minimize (handle or string): criteria = FUN(PARS)
  It needs to return a single value or vector.

  PARS is a vector with initial guess parameters. You must input an
  initial guess. PARS can also be given as a single-level structure.

  OPTIONS is a structure with settings for the optimizer, 
  compliant with optimset. Default options may be obtained with
     o=fminbfgs('defaults')
  options.MinFunEvals sets the minimum number of function evaluations to reach
  An empty OPTIONS sets the default configuration.

  CONSTRAINTS may be specified as a structure
   constraints.min=   vector of minimal values for parameters
   constraints.max=   vector of maximal values for parameters
   constraints.fixed= vector having 0 where parameters are free, 1 otherwise
   constraints.step=  vector of maximal parameter changes per iteration
   constraints.eval=  expression making use of 'p', 'constraints', and 'options' 
                        and returning modified 'p'
                      or function handle p=@constraints.eval(p)
  An empty CONSTRAINTS sets no constraints.

  Additional arguments are sent to the objective function.

 Output:
          MINIMUM is the solution which generated the smallest encountered
            value when input into FUN.
          FVAL is the value of the FUN function evaluated at MINIMUM.
          EXITFLAG return state of the optimizer
          OUTPUT additional information returned as a structure.

 Reference: Broyden, C. G., J. of the Inst of Math and Its Appl 1970, 6, 76-90
   Fletcher, R., Computer Journal 1970, 13, 317-322
   Goldfarb, D., Mathematics of Computation 1970, 24, 23-26
   Shanno, D. F.,Mathematics of Computation 1970, 24, 647-656
 Contrib: C. T. Kelley, 1998, Iterative Methods for Optimization [cgtrust]

 Version: Mar. 22, 2017
 See also: fminsearch, optimset
 (c) E.Farhi, ILL. License: EUPL.

CROSS-REFERENCE INFORMATION ^

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