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fminsearch

Find minimum of unconstrained multivariable function using derivative-free method

Nonlinear programming solver that searches for the minimum of a problem specified by

minxf(x)

f(x) is a function that returns a scalar, and x is a vector or a matrix.

Syntax

  • x = fminsearch(fun,x0)
    example
  • x = fminsearch(fun,x0,options)
    example
  • x = fminsearch(problem)
  • [x,fval] = fminsearch(___)
    example
  • [x,fval,exitflag] = fminsearch(___)
  • [x,fval,exitflag,output] = fminsearch(___)
    example

Description

example

x = fminsearch(fun,x0) starts at the point x0 and attempts to find a local minimum x of the function described in fun.

example

x = fminsearch(fun,x0,options) minimizes with the optimization options specified in the structure options. Use optimset to set these options.

x = fminsearch(problem) finds the minimum for problem, where problem is a structure.

example

[x,fval] = fminsearch(___), for any previous input syntax, returns in fval the value of the objective function fun at the solution x.

[x,fval,exitflag] = fminsearch(___) additionally returns a value exitflag that describes the exit condition.

example

[x,fval,exitflag,output] = fminsearch(___) additionally returns a structure output with information about the optimization process.

Examples

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Minimize Rosenbrock's function, a notoriously difficult optimization problem for many algorithms:

$$f(x) = 100(x_2 - x_1^2)^2 + (1 - x_1)^2.$$

The function is minimized at the point x = [1,1] with minimum value 0.

Set the start point to x0 = [-1.2,1] and minimize Rosenbrock's function using fminsearch.

fun = @(x)100*(x(2) - x(1)^2)^2 + (1 - x(1))^2;
x0 = [-1.2,1];
x = fminsearch(fun,x0)
x =

    1.0000    1.0000

Set options to monitor the process as fminsearch attempts to locate a minimum.

Set options to plot the objective function at each iteration.

options = optimset('PlotFcns',@optimplotfval);

Set the objective function to Rosenbrock's function,

$$f(x) = 100(x_2 - x_1^2)^2 + (1 - x_1)^2.$$

The function is minimized at the point x = [1,1] with minimum value 0.

Set the start point to x0 = [-1.2,1] and minimize Rosenbrock's function using fminsearch.

fun = @(x)100*(x(2) - x(1)^2)^2 + (1 - x(1))^2;
x0 = [-1.2,1];
x = fminsearch(fun,x0,options)
x =

    1.0000    1.0000

Minimize an objective function whose values are given by executing a file. A function file must accept a real vector x and return a real scalar that is the value of the objective function.

Copy the following code and include it as a file named objectivefcn1.m on your MATLAB® path.

function f = objectivefcn1(x)
f = 0;
for k = -10:10
    f = f + exp(-(x(1)-x(2))^2 - 2*x(1)^2)*cos(x(2))*sin(2*x(2));
end

Start at x0 = [0.25,-0.25] and search for a minimum of objectivefcn.

x0 = [0.25,-0.25];
x = fminsearch(@objectivefcn1,x0)
x =

   -0.1696   -0.5086

Sometimes your objective function has extra parameters. These parameters are not variables to optimize, they are fixed values during the optimization. For example, suppose that you have a parameter a in the Rosenbrock-type function

$$ f(x,a) = 100(x_2 - x_1^2)^2 + (a-x_1)^2.$$

This function has a minimum value of 0 at $x_1 = a$, $x_2 = a^2$. If, for example, $a = 3$, you can include the parameter in your objective function by makng an anonymous function.

Create the objective function with its extra parameters as extra arguments.

f = @(x,a)100*(x(2) - x(1)^2)^2 + (a-x(1))^2;

Put the parameter in your MATLAB® workspace.

a = 3;

Create an anonymous function of x alone that includes the workspace value of the parameter.

fun = @(x)f(x,a);

Solve the problem starting at x0 = [-1,1.9].

x0 = [-1,1.9];
x = fminsearch(fun,x0)
x =

    3.0000    9.0000

For more information about using extra parameters in your objective function, see Parameterizing Functions.

Find both the location and value of a minimum of an objective function using fminsearch.

Write an anonymous objective function for a three-variable problem.

x0 = [1,2,3];
fun = @(x)-norm(x+x0)^2*exp(-norm(x-x0)^2 + sum(x));

Find the minimum of fun starting at x0. Find the value of the minimum as well.

[x,fval] = fminsearch(fun,x0)
x =

    1.5359    2.5645    3.5932


fval =

  -5.9565e+04

Inspect the results of an optimization, both while it is running and after it finishes.

Set options to provide iterative display, which gives information on the optimization as the solver runs. Also, set a plot function to show the objective function value as the solver runs.

options = optimset('Display','iter','PlotFcns',@optimplotfval);

Set an objective function and start point.

function f = objectivefcn1(x)
f = 0;
for k = -10:10
    f = f + exp(-(x(1)-x(2))^2 - 2*x(1)^2)*cos(x(2))*sin(2*x(2));
end

Include the code for objectivefcn1 as a file on your MATLAB® path.

x0 = [0.25,-0.25];
fun = @objectivefcn1;

Obtain all solver outputs. Use these outputs to inspect the results after the solver finishes.

[x,fval,exitflag,output] = fminsearch(fun,x0,options)
 
 Iteration   Func-count     min f(x)         Procedure
     0            1         -6.70447         
     1            3         -6.89837         initial simplex
     2            5         -7.34101         expand
     3            7         -7.91894         expand
     4            9         -9.07939         expand
     5           11         -10.5047         expand
     6           13         -12.4957         expand
     7           15         -12.6957         reflect
     8           17         -12.8052         contract outside
     9           19         -12.8052         contract inside
    10           21         -13.0189         expand
    11           23         -13.0189         contract inside
    12           25         -13.0374         reflect
    13           27          -13.122         reflect
    14           28          -13.122         reflect
    15           29          -13.122         reflect
    16           31          -13.122         contract outside
    17           33         -13.1279         contract inside
    18           35         -13.1279         contract inside
    19           37         -13.1296         contract inside
    20           39         -13.1301         contract inside
    21           41         -13.1305         reflect
    22           43         -13.1306         contract inside
    23           45         -13.1309         contract inside
    24           47         -13.1309         contract inside
    25           49          -13.131         reflect
    26           51          -13.131         contract inside
    27           53          -13.131         contract inside
    28           55          -13.131         contract inside
    29           57          -13.131         contract outside
    30           59          -13.131         contract inside
    31           61          -13.131         contract inside
    32           63          -13.131         contract inside
    33           65          -13.131         contract outside
    34           67          -13.131         contract inside
    35           69          -13.131         contract inside
 
Optimization terminated:
 the current x satisfies the termination criteria using OPTIONS.TolX of 1.000000e-04 
 and F(X) satisfies the convergence criteria using OPTIONS.TolFun of 1.000000e-04 


x =

   -0.1696   -0.5086


fval =

  -13.1310


exitflag =

     1


output = 

  struct with fields:

    iterations: 35
     funcCount: 69
     algorithm: 'Nelder-Mead simplex direct search'
       message: 'Optimization terminated:...'

The value of exitflag is 1, meaning fminsearch likely converged to a local minimum.

The output structure shows the number of iterations. The iterative display and the plot show this information as well. The output structure also shows the number of function evaluations, which the iterative display shows, but the chosen plot function does not.

Related Examples

Input Arguments

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Function to minimize, specified as a function handle or function name. fun is a function that accepts a vector or array x and returns a real scalar f (the objective function evaluated at x).

Specify fun as a function handle for a file:

x = fminsearch(@myfun,x0)

where myfun is a MATLAB® function such as

function f = myfun(x)
f = ...            % Compute function value at x

You can also specify fun as a function handle for an anonymous function:

x = fminsearch(@(x)norm(x)^2,x0);

Example: fun = @(x)-x*exp(-3*x)

Data Types: char | function_handle

Initial point, specified as a real vector or real array. Solvers use the number of elements in, and size of, x0 to determine the number and size of variables that fun accepts.

Example: x0 = [1,2,3,4]

Data Types: double

Optimization options, specified as a structure such as optimset returns. You can use optimset to set or change the values of these fields in the options structure. See Set Options for detailed information.

Display

Level of display (see Iterative Display):

  • 'final' (default) displays just the final output.

  • 'off' or 'none' displays no output.

  • 'iter' displays output at each iteration.

  • 'notify' displays output only if the function does not converge.

FunValCheck

Check whether objective function values are valid. 'on' displays an error when the objective function returns a value that is complex or NaN. The default 'off' displays no error.

MaxFunEvals

Maximum number of function evaluations allowed, a positive integer. The default is 200*numberOfVariables. See Tolerances and Stopping Criteria.

MaxIter

Maximum number of iterations allowed, a positive integer. The default value is 200*numberOfVariables. See Tolerances and Stopping Criteria.

OutputFcn

Specify one or more user-defined functions that an optimization function calls at each iteration, either as a function handle or as a cell array of function handles. The default is none ([]). See Output Functions.

PlotFcns

Plots various measures of progress while the algorithm executes. Select from predefined plots or write your own. Pass a function handle or a cell array of function handles. The default is none ([]):

  • @optimplotx plots the current point.

  • @optimplotfunccount plots the function count.

  • @optimplotfval plots the function value.

For information on writing a custom plot function, see Plot Functions.

TolFun

Termination tolerance on the function value, a positive scalar. The default is 1e-4. See Tolerances and Stopping Criteria. Unlike other solvers, fminsearch stops when it satisfies both TolFun and TolX.

TolX

Termination tolerance on x, a positive scalar. The default value is 1e-4. See Tolerances and Stopping Criteria. Unlike other solvers, fminsearch stops when it satisfies both TolFun and TolX.

Example: options = optimset('Display','iter')

Data Types: struct

Problem structure, specified as a structure with the following fields.

Field NameEntry

objective

Objective function

x0

Initial point for x

solver

'fminsearch'

options

Options structure such as returned by optimset

Data Types: struct

Output Arguments

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Solution, returned as a real vector or real array. The size of x is the same as the size of x0. Typically, x is a local solution to the problem when exitflag is positive.

Objective function value at the solution, returned as a real number. Generally, fval = fun(x).

Reason fminsearch stopped, returned as an integer.

1

The function converged to a solution x.

0

Number of iterations exceeded options.MaxIter or number of function evaluations exceeded options.MaxFunEvals.

-1

The algorithm was terminated by the output function.

Information about the optimization process, returned as a structure with fields:

iterations

Number of iterations

funcCount

Number of function evaluations

algorithm

'Nelder-Mead simplex direct search'

message

Exit message

More About

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Tips

  • fminsearch only minimizes over the real numbers, that is, the vector or array x must only consist of real numbers and f(x) must only return real numbers. When x has complex values, split x into real and imaginary parts.

  • Use fminsearch to solve nondifferentiable problems or problems with discontinuities, particularly if no discontinuity occurs near the solution.

Algorithms

fminsearch uses the simplex search method of Lagarias et al. [1]. This is a direct search method that does not use numerical or analytic gradients as in fminunc. The algorithm is described in detail in fminsearch Algorithm. The algorithm is not guaranteed to converge to a local minimum.

References

[1] Lagarias, J. C., J. A. Reeds, M. H. Wright, and P. E. Wright. "Convergence Properties of the Nelder-Mead Simplex Method in Low Dimensions." SIAM Journal of Optimization. Vol. 9, Number 1, 1998, pp. 112–147.

See Also

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Introduced before R2006a

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