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Introduction to Optimization in MATLAB

Updated October 2, 2010 Compiled by Amit Kumar and Sushant Sharma

Table of Contents
MATLAB BASICS ..................................................................................................................................................... 2 WHAT IS MATLAB? ......................................................................................................................................................2 USAGE OF MATLAB ....................................................................................................................................................2 MATLAB GETTING STARTED ................................................................................................................................... 2 WORKING WITH MATRICES: ......................................................................................................................................5 CREATING LOOPS............................................................................................................................................................7 For loop .................................................................................................................................................................7 While Loop ............................................................................................................................................................8 CREATING LOGICAL OPERATIONS .......................................................................................................................................8 RIDING THE TIGER .................................................................................................................................................. 9 HOW TO WRITE CODE THAT RUNS FASTER ..........................................................................................................................9 Preallocation .........................................................................................................................................................9 Vectorization .......................................................................................................................................................10 Logical Indexing ..................................................................................................................................................10 MATLAB PROGRAMMING .................................................................................................................................... 11 WRITE YOUR OWN CODE .........................................................................................................................................11 WRITE SIMPLE M-FILES..................................................................................................................................................11 OPTIMIZATION TOOLBOX .................................................................................................................................... 13 LINEAR CONSTRAINED OPTIMIZATION PROBLEM ................................................................................................................13 PROBLEM FORMULATION...............................................................................................................................................14 NON-LINEAR OPTIMIZATION PROBLEM ............................................................................................................................15 PRACTICE EXERCISE .............................................................................................................................................. 17 PROBLEM 1:................................................................................................................................................................17

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MATLAB BASICS
What is MATLAB?
MATLAB is an interactive, matrix-based system for scientific and engineering numeric computation and visualization. The word MATLAB stands for MATrix LABoratory. Each entry is taken as a matrix in it, in particular scalar is considered as a 1 by 1 matrix. MATLAB is available for a number of operating systems like Windows, Linux etc. MATLAB was originally written in FORTRAN and is licensed by The Math Works, Inc, (http:// www.mathworks.com).

USAGE OF MATLAB
MATLAB is well known software for numerical linear algebra and matrix computation. Industry use it for research and to solve practical engineering and mathematical problems. Also, in automatic control theory, statistics and digital signal processing (Time-Series Analysis) one can use MATLAB. The following tool boxes make it useful in soft computing at various industrial and scientific areas: (i) Neural Networks (ii) Optimization (iii) Genetic Algorithms (iv) Wavelets (v) Fuzzy Logic (vi) Control systems (vi) Signal Processing

MATLAB GETTING STARTED

By clicking the MATLAB shortcut icon on the desktop of your computer (or selecting from the program menu) you can access MATLAB. This results in getting MATLAB command window with its prompt:

>>
with a blinking cursor appearing right of the prompt, telling you that MATLAB is waiting to perform a mathematical operation you would like to give.

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Simple Math Calculations ( i ) If you want to add two numbers say 7 & 12, type as follows >> 5+10 and press the ENTER or return key, you see the following output: ans = 15 Here, ans stands for the answer of computation. Similarly, the following gives product and difference of these numbers, >> 5*10 ans = 50 <ENTER>

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( ii ) If you want to store the values 5 and 10 in MATLAB variables a & b and store the values of their product and division in c and d, do as follows: >> a =5 a= 5 >>b =10 b= 10 >>c= a*b c= 50 >>d = 10/5 d= 2 <ENTER>

<ENTER>

<ENTER>

<ENTER>

You can exit MATLAB with the command exit or quit. A computation can be stopped with [ctrl-c]

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The basic arithmetic operations are given by: Operation Addition a+b Subtraction a-b Multiplication a.b Division a/b Exponential ab Symbol + * / or \ ^

WORKING WITH MATRICES:

MATLAB works with essentially only one kind of objects, i.e. a rectangular numerical matrix with possibly complex entries. All variables represent matrices. Scalars Row vector 1 by 1 matrix matrix with one row matrix with one column.

Column vector If you want to store a matrix 1 4 7 2 5 8 3 6 9

you type the following in the MATLAB prompt. >> a = [1 2 3; 4 5 6; 7 8 9] a= 1 4 7 2 5 8 3 6 9

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The rows are separated by semicolons and elements are separated by space or by comma. To transpose a matrix and store in b we can run following command >> b = a b= 1 2 3 4 5 6 7 8 9

Matrix Operations available in MATLAB Function + * ^ \ / Task Addition Subtraction Multiplication Power Transpose Left Division Right Division

Examples matrix addition: >> a1 = a+b a1 = 2 6 10 (matrices a and b are added and stores in a1)

6 10 14 10 14 18 Examples matrix multiplication:

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>>a2= a * b = 14 32 50 32 77 122 50 122 194 >>a3= a.*b = 1 8 21

8 25 48 21 48 81

Creating loops
Similar to other programming language MATLAB also has two looping constructs: for loops and while loops.

For loop For loops are useful for repeating a process or a set of processes (or operations) a certain number of times. Each for loop should have counter variable, starting value of the counter variable, increment (default 1 if not specified) and upper limit of counter variable. In addition all for loops should be closed by an end statement. An example of for loop
for i=1:1:10 disp(i); end

Here, initial value of counter variable i is 1, increment is defined as 1 and upper limit is 10. Hence it will
execute the loop ten times. In each loop it will display the value of the counter variable. An another loop can be nested inside a loop as belowfor i=1:1:10 for j=1:1:3 disp(i); end end

Now this nested loop will execute the value of counter variable i three times.

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While Loop While loops are useful for repeating a process or a set of processes (or operations) until a specified condition(s) is (are) met. Following is the example of a while loop
i=1; while ~(i==10) disp(i); i=i+1; end

In this example of while loop, the loop runs 9 times as opposed to for loop. The while loop first evaluates the conditional statement and then executes the processes inside the loop if conditional statement is true else the loop is terminated. So in this example as soon as the value of i will turn 10 the loop will be terminated. So, each while loop needs a logical test and it runs while the answer to the logical test is valid. Hence next we discuss how to create the logical statements.

Creating Logical Operations

The logical statements can be combination of variables, arithmetic operators and relational operators and results in true or false. Following table shows the list of relational operators.
Operator Description < <= > >= == ~= Less than Less than or equal to Greater than Greater than or equal to Equal to Not equal to

For more details visit the mathworks web page http://www.mathworks.com/help/techdoc/matlab_prog/f0-40063.html The local operations can be used by inbuilt function logical or under the if(else) statement. Following example shows use of inbuilt function logical.
clear; %clear all variables clc; %clear screen a=[1 2 3 2 4 2 5]; disp('values of vector "a" before'); disp(a); b=logical(a==2); disp('after modifying "a" using logical operations'); a(b)=99; disp(a);

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Following is an example of using logical operation in an if-else statementclear; %clear all variables clc; %clear screen a=[1 2 3 2 4 2 5]; disp('values of vector "a" before'); disp(a); m=length(a); for i=1:1:m if a(i)==2 a(i)=999; else a(i)=0; end end disp('after modifying "a" using logical operations'); disp(a);

RIDING THE TIGER

How to Write Code that Runs Faster
There are three important techniques to speed up the execution of MATLAB code namely, preallocation, vectorization and indexing by logical expression. Preallocation It means defining the size of a variable (matrix or vector) and giving some initial values. Run the following two codes below see the difference in execution timeCode with preallocation
%clc; clear; tic; %start of measuring time a=zeros(50000,1); %preallocation sum=0; for i=1:1:50000 a(i)=i; sum=sum+a(i); end disp('sum of 1 to 50,000 is ='); disp(sum); toc; %End of measuring time

Code without preallocation

clc; clear; tic; %start of measuring time %a=zeros(50000); % No preallocation sum=0; for i=1:1:50000 a(i)=i; sum=sum+a(i); end disp('sum of 1 to 50,000 is ='); disp(sum); toc;%End of measuring time

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Vectorization Vectorization gives faster performance compared to loop. Run the following codes to see the benefit of vectorization. Code with vectorization
% Vectorization example for %elementwise multiplication %clc; clear; tic; %start of measuring time a=ones(50000,1); b=ones(50000,1); c=zeros(50000,1); b=b*2; %for i=1:1:50000 c=a.*b; s=sum(c); disp(s); %end toc;%End of measuring time

Code without vectorization

% No_Vectorization example for %elementwise multiplication %clc; clear; tic; %start of measuring time a=ones(50000,1); b=ones(50000,1); c=zeros(50000,1); b=b*2; s=0; for i=1:1:50000 c(i)=a(i)*b(i); s=s+c(i); end disp(s); toc;%End of measuring time

Logical Indexing Indexing also gives faster performance compared to loop. Run the following codes to see the benefit of indexingCode with indexing
%clc; clear; tic; %start of measuring time a=1:50000; b=logical(rem(a,2)==0); a(b)=0; s=sum(a); disp('sum of odd integers between 1 and 50,000 is ='); disp(s); toc;%End of measuring time

Code without indexing

clc; clear; tic; %start of measuring time a=1:50000; for i=1:1:50000 if rem(a(i),2)==0 a(i)=0; end end s=sum(a); disp('sum of odd integers between 1 and 50,000 is ='); disp(s); toc;%End of measuring time

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MATLAB PROGRAMMING
We can also do programming in MATLAB as we are doing in FORTRAN, C & C++. To make a file in MATLAB we have to click on New in the file menu in menubar. It will open a new file as we are doing in word; and if we save this file (called m-file), will be saved in bin folder of MATLAB. Such files are called M-files because they have an extension of .m in its filename. Much of your work with MATLAB will be creating and refining M-files. There are two types of M-files: Script Files and Function Files.

WRITE YOUR OWN CODE Write Simple m-files

A m-file consists of a sequence of normal MATLAB statements. If the file has the filename, say, test.m, then the MATLAB command >> test will cause the statements in the file to be executed. Variables in a script file are global and will change the value of variables of the same name in the environment of the current MATLAB session. M files are often used to enter data into a large matrix; in such a file, entry errors can be easily edited out. Example: In a file test.m enter the following: % This is a sample m-file a = [4,2,3;0,1,2;1,2,3] b =a; c = a+b d = inv(c) save this file. Then to execute this file, type >>test <ENTER>

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The % symbol indicates that the rest of the line is a comment. MATLAB will ignore the rest of the line.

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OPTIMIZATION TOOLBOX

Linear Constrained Optimization Problem

Example 1: Apple manufactures multiple products including iphone and ipad. It has three manufacturing bases. The products are assembled at assembling unit by the component parts arriving from three manufacturing bases. Following table describes the percentage of capacity available at the manufacturing bases due to the other products being developed at same location. The table also shows percentage of capacity required per million units production of iphone and ipad, in addition to the profit. Table 1: Capacity of manufacturing base for iphone and ipad Capacity Used (per million unit) iphone ipad 1 0 3 3 0 2 2 5

Manufacturing base California Illinois Atlanta Profit (in hundred million USD per million unit)

Capacity Available (per million unit) 4 12 18

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Problem Formulation Objective function: x1 = number of iphones (in million) and x2 = number of ipads (in million) Goal : To maximize profit (Z) Or, Decision variable: Constraints: See Table 1 to understand the constraints

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Non-Linear Optimization Problem

Create following M files

1. Fun.m
function z = fun(x) z = x(1)^2+x(2)^2+x(3)^2; end

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2. Constr.m % function [g, h] = constr(x) g(1) = x(3)/x(2)-1; % h = x(1)-x(2)^2+x(2)*x(3)-4; % %EOF

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PRACTICE EXERCISE
Problem 1:
Write a MATLAB code for golden section method to solve the following optimization problem. You can use the given flow chart of the method provided in this handout as a reference.

Given the initial interval of decision variable (x) as *0, 2+ and final confidence interval (2) to be 0.1.

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Figure: Flow chart of golden section method

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