sqpSolveMT

Purpose

Solves the nonlinear programming problem.

Format

out = sqpSolveMT(&fct, par1[, ...][, ctl])
Parameters:
  • &fct (function pointer) – pointer to a procedure that computes the function to be minimized. The first input to this procedure must be an instance of structure of type PV.
  • par1 (struct) – an instance of structure of type PV. The par1 instance is passed to the user-provided procedure pointed to by &fct. par1 is constructed using the PVpack functions.
  • .. (any) – Optional extra arguments. These arguments are passed untouched to the user-provided objective function, by sqpSolveMT().
  • ctl (struct) –

    Optional input. instance of an sqpSolveMTControl structure. Normally an instance is initialized by calling sqpSolveMTControlCreate() and members of this instance can be set to other values by the user. For an instance named ctl, the members are:

    ctl.A MxK matrix, linear equality constraint coefficients: ctl.A * p = ctl.B where p is a vector of the parameters.
    ctl.B Mx1 vector, linear equality constraint constants: ctl.A * p = ctl.B where p is a vector of the parameters.
    ctl.C MxK matrix, linear inequality constraint coefficients: ctl.C * p >= ctl.D where p is a vector of the parameters.
    ctl.D Mx1 vector, linear inequality constraint constants: ctl.C * p >= ctl.D where p is a vector of the parameters.
    ctl.eqProc scalar, pointer to a procedure that computes the nonlinear equality constraints. When such a procedure has been provided, it has one input argument, a structure of type SQPdata, and one output argument, a vector of computed equality constraints. For more details see Remarks below. Default = ., i.e., no equality procedure.
    ctl.weights vector, weights for objective function returning a vector. Default = 1.
    ctl.ineqProc scalar, pointer to a procedure that computes the nonlinear inequality constraints. When such a procedure has been provided, it has one input argument, a structure of type SQPdata, and one output argument, a vector of computed inequality constraints. For more details see Remarks below. Default = ., i.e., no inequality procedure.
    ctl.bounds 1x2 or Kx2 matrix, bounds on parameters. If 1x2 all parameters have same bounds. Default = -1e256 1e256 .
    ctl.covType scalar, if 0, no covariance matrix is computed, if 1 the ML covariance matrix is computed, if 2, QML covariance matrix, if 3 the cross-product of the Jacobian is used.
    ctl.gradProc scalar, pointer to a procedure that computes the gradient of the function with respect to the parameters. Default = ., i.e., no gradient procedure has been provided.
    ctl.hessProc scalar, pointer to a procedure that computes the Hessian, i.e., the matrix of second order partial derivatives of the function with respect to the parameters. Default = ., i.e., no Hessian procedure has been provided.
    ctl.maxIters scalar, maximum number of iterations. Default = 1e+5.
    ctl.dirTol scalar, convergence tolerance for gradient of estimated coefficients. Default = 1e-5. When this criterion has been satisfied sqpSolveMT() exits the iterations.
    ctl.feasibleTest scalar, if nonzero, parameters are tested for feasibility before computing function in line search. If function is defined outside inequality boundaries, then this test can be turned off. Default = 1.
    ctl.randRadius scalar, If zero, no random search is attempted. If nonzero, it is the radius of random search which is invoked whenever the usual line search fails. Default = .01.
    ctl.output scalar, if nonzero, results are printed. Default = 0.
    ctl.printIters scalar, if nonzero, prints iteration information. Default = 0.
Returns:

out (struct) –

an instance of an sqpSolveMTout structure. For an instance named out, the members are:

out.par an instance of structure of type PV containing the parameter estimates will be placed in the member matrix out.par.”
out.fct scalar, function evaluated at x.
out.lagr

an instance of a SQPLagrange structure containing the Lagrangians for the constraints. The members are:

out.lagr.lineq:Mx1 vector, Lagrangians of linear equality constraints.
out.lagr.nlineq:
 Nx1 vector, Lagrangians of nonlinear equality constraints.
out.lagr.linineq:
 Px1 vector,Lagrangians of linear inequality constraints.
out.lagr.nlinineq:
 Qx1 vector,Lagrangians of nonlinear inequality constraints.
out.lagr.bounds:
 Kx2 matrix, Lagrangians of bounds.

Whenever a constraint is active, its associated Lagrangian will be nonzero. For any constraint that is inactive throughout the iterations as well as at convergence, the corresponding Lagrangian matrix will be set to a scalar missing value.

out.retcode

return code:

0:normal convergence.
1:forced exit.
2:maximum number of iterations exceeded.
3:function calculation failed.
4:gradient calculation failed.
5:Hessian calculation failed.
6:line search failed.
7:error with constraints.
8:function complex.

Remarks

There is one required user-provided procedure, the one computing the objective function to be minimized, and four other optional functions, one each for computing the equality constraints, the inequality constraints, the gradient of the objective function, and the Hessian of the objective function.

All of these functions must take exactly the same input arguments. The first input argument is an instance of a structure of type PV. On input to the call to sqpSolveMT(), this PV structure contains starting values for the parameters.

Both of the structures of type PV are set up using the PVpack procedures, pvPack(), pvPackm(), pvPacks(), and pvPacksm(). These procedures allow for setting up a parameter vector in a variety of ways.

For example, we might have the following objective function for fitting a nonlinear curve to data:

proc (1) = micherlitz(struct PV par1, y, x);
   local p0, e, s2, x, y;

   p0 = pvUnpack(par1, "parameters");
   e = y - p0[1] - p0[2]*exp(-p0[3] * x);

   retp(e'*e);
endp;

In this example the dependent and independent variables are passed to the procedure as the second and third arguments to the procedure.

The other optional procedures must take exactly the same arguments as the objective function. For example, to constrain the squared sum of the first two parameters to be greater than one in the above problem, provide the following procedure:

proc (1) = ineqConst(struct PV par1, y, x);
   local p0;

   p0 = pvUnpack(p0, "parameters");

   retp( (p0[2]+p0[1])^2 - 1);
endp;

The following is a complete example for estimating the parameters of the Micherlitz equation in data with bounds constraints on the parameters and where an optional gradient procedure has been provided:

// Create data needed by 'Micherlitz' procedure
y = { 3.183,
      3.059,
      2.871,
      2.622,
      2.541,
      2.184,
      2.110,
      2.075,
      2.018,
      1.903,
      1.770,
      1.762,
      1.550 };

x = seqa(1, 1, 13);

// Declare control structure
struct sqpSolveMTControl c0;

// Initialize structure to default values
c0 = sqpSolveMTControlCreate();

// Constrain parameters to be positive
c0.bounds = 0~100;

// Declare 'par1' to be a PV structure
struct PV par1;

// Initialize 'par1'
par1 = pvCreate();

// Add 3x1 vector named 'parameters' to 'p1'
par1 = pvPack(par1, .92|2.62|.114, "parameters");

// Declare 'out' to be an sqpsolvemt control structure
// to hold the results from sqpsolvemt
struct sqpSolveMTout out;

// Estimate the model parameters
out = sqpSolveMT(&Micherlitz, par1, y, x, c0);

// Print returned parameter estimates
print "parameter estimates ";
print pvUnPack(out.par, "parameters");

proc Micherlitz(struct PV par1, y, x);
   local p0, e, s2;

   p0 = pvUnpack(par1, "parameters");
   e = y - p0[1] - p0[2]*exp(-p0[3] * x);

  retp(e'*e);
endp;

Source

sqpsolvemt.src