Matlab function in fmincon with fixed value - function

I have a simple model where I want to minimize the RMSE between my dependent variable y and my model values. The model is: y = alpha + beta'*x.
For minimization, I am using Matlab's fmincon function and am struggling with multiplying my parameter p(2) by x.
MWE:
% data
y = [5.072, 7.1588, 7.263, 4.255, 6.282, 6.9118, 4.044, 7.2595, 6.898, 4.8744, 6.5179, 7.3434, 5.4316, 3.38, 5.464, 5.90, 6.80, 6.193, 6.070, 5.737]
x = [18.3447, 79.86538, 85.09788, 10.5211, 44.4556, 69.567, 8.960, 86.197, 66.857, 16.875, 52.2697, 93.971, 24.35, 5.118, 25.126, 34.037, 61.4445, 42.704, 39.531, 29.988]
% initial values
p_initial = [0, 0];
% function: SEE BELOW
objective = #(p) sqrt(mean((y - y_mod(p)).^2));
% optimization
[param_opt, fval] = fmincon(objective, p_initial)
If I specify my function as follows then it works.
y_mod = #(p) p(1) + p(2).*x
However, it does not work if I use the following code. How can I multiply p(2) with x? Where x is not optimized, because the values are given.
function f = y_mod(p)
f = p(1) + p(2).*x
end

Here is the output from a script that has the function declaration:
>> modelFitExample2a
RMS Error=0.374, intercept=4.208, slope=0.0388
And here is code for the above. It has many commented lines because it includes alternate ways to fit the data: an inline declaration of y_mod(), or a multi-line declaration of y_mod(), or no y_mod() at all. This version uses the multi-line declaration of y_mod().
%modelFitExample2a.m WCR 2021-01-19
%Reply to stack exchange question on parameter fitting
clear;
global x %need this if define y_mod() separately, and in that case y_mod() must declare x global
% data
y = [5.0720, 7.1588, 7.2630, 4.2550, 6.2820, 6.9118, 4.0440, 7.2595, 6.8980, 4.8744...
6.5179, 7.3434, 5.4316, 3.3800, 5.4640, 5.9000, 6.8000, 6.1930, 6.0700, 5.7370];
x = [18.3447,79.8654,85.0979,10.5211,44.4556,69.5670, 8.9600,86.1970,66.8570,16.8750,...
52.2697,93.9710,24.3500, 5.1180,25.1260,34.0370,61.4445,42.7040,39.5310,29.9880];
% initial values
p_initial = [0, 0];
%predictive model with parameter p
%y_mod = #(p) p(1) + p(2)*x;
% objective function
%If you use y_mod(), then you must define it somewhere
objective = #(p) sqrt(mean((y - y_mod(p)).^2));
%objective = #(p) sqrt(mean((y-p(1)-p(2)*x).^2));
% optimization
options = optimset('Display','Notify');
[param_opt, fval] = fmincon(objective,p_initial,[],[],[],[],[],[],[],options);
% display results
fprintf('RMS Error=%.3f, intercept=%.3f, slope=%.4f\n',...
fval,param_opt(1),param_opt(2));
%function declaration: predictive model
%This is an alternative to the inline definition of y_mod() above.
function f = y_mod(p)
global x
f = p(1) + p(2)*x;
end

carl,
The second method, in which you declare y_mod() explicitly (at the end of your script, or in a separate file y_mod.m), does not work because y_mod() does not know what x is. Fix it by declaring x global in the main program at the top, and declare x global in y_mod().
%function declaration
function f = y_mod(p)
global x
f = p(1) + p(2)*x;
end
Of course you don't need y_mod() at all. The code also works if you use the following, and in this case, no global x is needed:
% objective function
objective = #(p) sqrt(mean((y-p(1)-p(2)*x).^2));
By the way, you don't need to multiply with .* in y_mod. You may use *, because you are multiplying a scalar by a vector.

Related

Where is the error in my below code for approximate solution of poisson boundary value problem?

I have to solve the following boundary value problem which is
also it is defined in my Matlab code below, but my code doesn't work. I mean I didn't get the approximate solution of my system.
I want to know where is the problem in my code or just the version of matlab that I have can't compile the kind of function I have used , Thanks
Explanation of method I have used : I have used the finite element method or what we called Galerkin Method based on investigation about assembly matrix and stiffness matrix. I have multiplied the system by weight function which satisfies the boundary condition then I have integrated over elements (integration of elementary matrix over the range ]-1,1[). I have four elementary matrix. For more information about that Method I used please check this paper(page:6,7,8)
Note The error I have got upon the compilation of my code is
The current use of "MatElt2Nd" is inconsistent with it previous use or definition in line 7
Code
function [U] = EquaDiff2(n)
% ----------------------------------
% -d²u/dx² + 6*u = (-4*x^2-6)exp(x^2)
% u(-1) = 0 u(1)= 0
%----------------------------------
function [Ke, Fe] = MatElt2Nd(x1,x2)
% déclaration de la fonction,
% function of computing matrix and elementary matrix (assembly matrix)
% ----------------------------------
x = [-1:2/n:1]'; % modification d1 of bound d’intégration
K = zeros(n+1) ;
F = zeros(n+1,1) ;
for i = 1:n
j = i+1;
t = [i j];
x1 = x(i);
x2 = x(j);
[Ke,Fe] = MatElt2Nd(x1,x2);
K(t,t) = K(t,t) + Ke;
F(t) = F(t) + Fe;
end;
K(1,:) = [];
K(:,1) = [];
F(1) = [];
U = K\F;
U = [0.0;U];
t = 0:0.01:1;
return
%-------------------------------------------
% calculation of matrix Ke and vector Fe
%-------------------------------------------
function [Ke,Fe] = MatElt2Nd0(x1,x2)
% NEWly named nested function is introduced
Ke1 = 1/(x2-x1)*[ 1 -1 % no modification done
-1 1 ] ; % essentiellement que les matrices
Ke2 =(x2-x1)* [ 2 1 % élémentaires
1 2 ] ;
N = [(x-x2)/(x1-x2) (x-x1)/(x2-x1)] % function of form
Fe =simple( int(N' * (-4*x^2-6)*exp(x^2) , x, x1, x2) ) % vecteur Fe ;
Ke = Ke1 + 6*Ke2 ;
return
Edit I have got a general code for that but I can't do changes in the general code to solve my system , Any help ?
General Code
% au'(x)+bu"(x)=0 for 0<=x<=d
% BC: u(0)=0 and u(d)=h
%==============================================================
% ======Example======
% Finding an approximate solution to the following BVP using 4 elements of
% equal length.
% u'(x)-u"(x)=0 : 0<=x<=1
% BC: u(0)=0 and u(1)=1
% Solution:
% >> Galerkin(4,1,-1,1,1)
% ==============================================================
% The output of this program is
% 1- The approximate solution (plotted in blue)
% 2- The exact solution (plotted in red)
% 3- The percentage error (plotted in magenta)
%=======================Program Begin==========================
function Galerkin(ne1,a,b,d,h) % Declare function
clc % Clear workspace
% Define the Coefficients of the exact solution
% The Exact solution is : u(x)=C1+C2*exp(-ax/b)
% where C2=h/(exp(-a*d/b)-1)and C1=-C2
C2=h/((exp(-a*d/b))-1);
C1=-C2;
% Define element length
le = d/ne1;
% Define x matrix
x = zeros (ne1+1,1); %
for i=2:ne1 +1
x(i,1) = x(i-1,1)+le;
end
% K1 matrix corresponding to the diffusion term (u"(x))
K1 = (b/le) * [1,-1;-1,1]
% K2 matrix corresponding to the convection term (u'(x))
K2 = a*[-1/2 1/2;-1/2 1/2]
% Element stiffness Matrix
Ke = K1+K2
% Global stiffness matrix
%********************Begin Assembly***************************
k = zeros(ne1+1);
for i=1:ne1+1
for j=1:ne1 +1
if (i==j)
if(i==1)
k(i,j)=Ke(1,1);
elseif(i==ne1+1)
k(i,j)=Ke(2,2);
else
k(i,j)=Ke(1,1)+Ke(2,2);
end
elseif(i==j+1)
k(i,j)=Ke(1,2);
elseif(j==i+1)
k(i,j)=Ke(2,1);
else
k(i,j)=0;
end
end
end
%********************End Assembly*****************************
%The Global f Matrix
f = zeros(ne1+1,1);
%BC apply u(0) = 0
f(1,1) = 0;
%BC apply u(d) = h
f(ne1+1,1) = h;
% Display the Global stifness matrix before striking row
K_Global=k
%Striking first row (u1=0)
k(1,1) = 1;
for i=2:ne1+1
k(1,i) = 0;
k(ne1+1,i) = 0;
end
k(ne1+1,ne1+1) = 1;
% Display the solvable stifness matrix
K_strike=k
%solving the result and finding the displacement matrix, {u}
u=inv(k)*f
hold on
% ======Calculating Approximate Solution and plotting============
syms X
U_sym=sym(zeros(ne1,1));
dU_sym=sym(zeros(ne1,1));
for i=1:ne1
N1x=1-((X-x(i))/le);
N2x=(X-x(i))/le;
U_X=(u(i)*N1x)+(u(i+1)*N2x);
U_sym(i)=U_X;
dU_sym(i)=diff(U_sym(i));
subplot(3,1,1)
hold on
ezplot(U_sym(i),[x(i) x(i+1)])
subplot(3,1,2)
hold on
% du/dx approximate
ezplot(dU_sym(i),[x(i) x(i+1)])
end

How to pass variadic arguments in Octave

I would like to implement a function duration = timer(n, f, arguments_of_f) that would measure how much time does a method f with arguments arguments_of_f need to run n times. My attempt was the following:
function duration = timer(n, f, arguments_of_f)
duration = 0;
for i=1:n
t0 = cputime;
f(arguments_of_f);
t1 = cputime;
duration += t1 - t0;
end
In another file, I have
function y = f(x)
y = x + 1;
end
The call d1 = timer(100, #f, 3); works as expected.
In another file, I have
function y = g(x1, x2)
y = x1 + x2;
end
but the call d2 = timer(100, #g, 1, 2); gives an error about undefined
argument x2, which is, when I look back, somehow expected, since I pass only
1 to g and 2 is never used.
So, how to implement the function timer in Octave, so that the call like
timer(4, #g, x1, ... , xK) would work? How can one pack the xs together?
So, I am looking for the analogue of Pythons *args trick:
def use_f(f, *args):
f(*args)
works if we define def f(x, y): return x + y and call use_f(f, 3, 4).
You don't need to pack all the arguments together, you just need to tell Octave that there is more than one argument coming and that they are all necessary. This is very easy to do using variadic arguments.
Your original implementation is nearly spot on: the necessary change is minimal. You need to change the variable arguments_to_f to the special name varargin, which is a magical cell array containing all your arbitrary undeclared arguments, and pass it with expansion instead of directly:
function duration = timer(n, f, varargin)
duration = 0;
for i=1:n
t0 = cputime;
f(varargin{:});
t1 = cputime;
duration += t1 - t0;
end
That's it. None of the other functions need to change.

After one call to myfun, new parametrization does not affect the result, which conforms to the first call

I am new to Octave although I can say I am an expert Matlab user. I am running Octave on a Linux server (Red Hat) remotely through PuTTY, from a windows machine.
I am observing a very strange behavior in Octave. I call myfun(a) which performs as expected giving the sought results. Now, if I run, say, myfun(b) with b!=a, I get again myfun(a). Clear -f does not solve the problem. I need to reboot octave to change the parameters.
What am I doing wrong?
Thanks a lot
Francesco
This is the code for the function I mentioned:
function [a, v, obj, infos, iter] = mle_garch( p )
#{
% this function estimates the GARCH(1,1) parameters
% it is assumed we pass the adjusted price level p
#}
global y = (diff(log(p))-mean(diff(log(p))))*100;
global h = zeros(size(y));
a0 = [var(y)*0.9; 0.8; 0.1];
[a, obj, infos, iter] = sqp(a0, #loglike_garch, [], #loglike_con, [], [], 1000);
v = sqrt(h * 260);
endfunction
function g = loglike_garch( a )
global y h
n = length(y);
h(1) = var(y);
for i = 2 : n,
h(i) = a(1) + a(2) * h(i-1) + a(3) * y(i-1)^2;
endfor
g = 0.5 * ( sum(log(h)) + sum(y.^2./h) ) / n;
endfunction
function f = loglike_con( a )
f = [1;0;0;0] + [0 -1 -1;eye(3)] * a;
endfunction
I'm assuming the myfun you mentioned is mle_garch. The problem is the way you're initializing the global h and v variables (do you really need them to be global?). When you have a piece of code like this
global y = (diff(log(p))-mean(diff(log(p))))*100;
global h = zeros(size(y));
the values of y and h are defined the first time only. You can change their values later on, but this specific lines will never be ran again. Since your code only uses the input argument to define these two variables, the value which you use to run the function the first time will be used every single other time. If you really want to keep those variables global, replace it with the following:
global y;
global h;
y = (diff(log(p))-mean(diff(log(p))))*100;
h = zeros(size(y));
But I don't see any reason to keep them global so just don't make them global.
Also, you mentioned this code worked fine in Matlab. I was under the impression that you couldn't initialize global and persistent variables in Matlab which would make your code illegal in Matlab.

Matlab second order derivative

I have followed the tutorial on http://www.mit.edu/people/abbe/matlab/ode.html and prepared a function as follows:
function dxy = diffxy(xy)
%
%split xy into variables in our equations
%
x = xy(1);
xdot = xy(2);
y = xy(3);
%
% define the derivatives of these variables from equations
%
xdot = xdot;
ydot = 3*x + 2*y + 5;
xdoubledot = 3 - ydot + 2*xdot;
%
%return the derivatives in dxy in the right order
%
dxy = [xdot; xdoubledot; ydot]
end
When I call it using
[T, XY] = ode45('diffxy',0,10,[0 1 0])
I get an error
??? Error using ==> diffxy
Too many input arguments.
I also tried
XY= ode45(#diffxy,[0 10],[0;1;0])
Anybody have any idea?
haven't read the whole tutorial but aren't you supposed to define your function as
function dxy = diffxy(t, xy)
where t is time vector

How to use Newton-Raphson method in matlab to find an equation root?

I am a new user of MATLAB. I want to find the value that makes f(x) = 0, using the Newton-Raphson method. I have tried to write a code, but it seems that it's difficult to implement Newton-Raphson method. This is what I have so far:
function x = newton(x0, tolerance)
tolerance = 1.e-10;
format short e;
Params = load('saved_data.mat');
theta = pi/2;
zeta = cos(theta);
I = eye(Params.n,Params.n);
Q = zeta*I-Params.p*Params.p';
% T is a matrix(5,5)
Mroot = Params.M.^(1/2); %optimization
T = Mroot*Q*Mroot;
% Find the eigenvalues
E = real(eig(T));
% Find the negative eigenvalues
% Find the smallest negative eigenvalue
gamma = min(E);
% Now solve for lambda
M_inv = inv(Params.M); %optimization
zm = Params.zm;
x = x0;
err = (x - xPrev)/x;
while abs(err) > tolerance
xPrev = x;
x = xPrev - f(xPrev)./dfdx(xPrev);
% stop criterion: (f(x) - 0) < tolerance
err = f(x);
end
% stop criterion: change of x < tolerance % err = x - xPrev;
end
The above function is used like so:
% Calculate the functions
Winv = inv(M_inv+x.*Q);
f = #(x)( zm'*M_inv*Winv*M_inv*zm);
dfdx = #(x)(-zm'*M_inv*Winv*Q*M_inv*zm);
x0 = (-1/gamma)/2;
xRoot = newton(x0,1e-10);
The question isn't particularly clear. However, do you need to implement the root finding yourself? If not then just use Matlab's built in function fzero (not based on Newton-Raphson).
If you do need your own implementation of the Newton-Raphson method then I suggest using one of the answers to Newton Raphsons method in Matlab? as your starting point.
Edit: The following isn't answering your question, but is just a note on coding style.
It is useful to split your program up into reusable chunks. In this case your root finding should be separated from your function construction. I recommend writing your Newton-Raphson method in a separate file and call this from the script where you define your function and its derivative. Your source would then look some thing like:
% Define the function (and its derivative) to perform root finding on:
Params = load('saved_data.mat');
theta = pi/2;
zeta = cos(theta);
I = eye(Params.n,Params.n);
Q = zeta*I-Params.p*Params.p';
Mroot = Params.M.^(1/2);
T = Mroot*Q*Mroot; %T is a matrix(5,5)
E = real(eig(T)); % Find the eigen-values
gamma = min(E); % Find the smallest negative eigen value
% Now solve for lambda (what is lambda?)
M_inv = inv(Params.M);
zm = Params.zm;
Winv = inv(M_inv+x.*Q);
f = #(x)( zm'*M_inv*Winv*M_inv*zm);
dfdx = #(x)(-zm'*M_inv*Winv*Q*M_inv*zm);
x0 = (-1./gamma)/2.;
xRoot = newton(f, dfdx, x0, 1e-10);
In newton.m you would have your implementation of the Newton-Raphson method, which takes as arguments the function handles you define (f and dfdx). Using your code given in the question, this would look something like
function root = newton(f, df, x0, tol)
root = x0; % Initial guess for the root
MAXIT = 20; % Maximum number of iterations
for j = 1:MAXIT;
dx = f(root) / df(root);
root = root - dx
% Stop criterion:
if abs(dx) < tolerance
return
end
end
% Raise error if maximum number of iterations reached.
error('newton: maximum number of allowed iterations exceeded.')
end
Notice that I avoided using an infinite loop.