nag_glopt_nlp_multistart_sqp (e05ucc) (PDF version)
e05 Chapter Contents
e05 Chapter Introduction
NAG C Library Manual

NAG Library Function Document

nag_glopt_nlp_multistart_sqp (e05ucc)

+ Contents

    1  Purpose
    7  Accuracy

1  Purpose

nag_glopt_nlp_multistart_sqp (e05ucc) is designed to find the global minimum of an arbitrary smooth function subject to constraints (which may include simple bounds on the variables, linear constraints and smooth nonlinear constraints) by generating a number of different starting points and performing a local search from each using sequential quadratic programming.

2  Specification

#include <nag.h>
#include <nage05.h>
void  nag_glopt_nlp_multistart_sqp (Integer n, Integer nclin, Integer ncnln, const double a[], Integer tda, const double bl[], const double bu[],
void (*confun)(Integer *mode, Integer ncnln, Integer n, Integer tdcjsl, const Integer needc[], const double x[], double c[], double cjsl[], Integer nstate, Nag_Comm *comm),
void (*objfun)(Integer *mode, Integer n, const double x[], double *objf, double objgrd[], Integer nstate, Nag_Comm *comm),
Integer npts, double x[], Integer ldx,
void (*start)(Integer npts, double quas[], Integer n, Nag_Boolean repeat, const double bl[], const double bu[], Nag_Comm *comm, Integer *mode),
Nag_Boolean repeat, Integer nb, double objf[], double objgrd[], Integer ldobjgrd, Integer iter[], double c[], Integer ldc, double cjac[], Integer ldcjac, Integer sdcjac, double r[], Integer ldr, Integer sdr, double clamda[], Integer ldclamda, Integer istate[], Integer ldistate, Integer iopts[], double opts[], Nag_Comm *comm, Integer info[], NagError *fail)
Before calling nag_glopt_nlp_multistart_sqp (e05ucc), the optional argument arrays iopts and opts MUST be initialized for use with nag_glopt_nlp_multistart_sqp (e05ucc) by calling nag_glopt_opt_set (e05zkc) with optstr set to ‘Initialize = e05ucc’. Optional arguments may be specified by calling nag_glopt_opt_set (e05zkc) before the call to nag_glopt_nlp_multistart_sqp (e05ucc).
The declared lenths of iopts and opts must be at least 740 and 485 respectively.

3  Description

The problem is assumed to be stated in the following form:
minimizexRn ​ ​ Fx  subject to  l x ALx cx u, (1)
where Fx (the objective function) is a nonlinear function, AL is an nL by n linear constraint matrix, and cx is an nN element vector of nonlinear constraint functions. (The matrix AL and the vector cx may be empty.) The objective function and the constraint functions are assumed to be smooth, i.e., at least twice-continuously differentiable. (This function will usually solve (1) if there are only isolated discontinuities away from the solution.)
nag_glopt_nlp_multistart_sqp (e05ucc) solves a user-specified number of local optimization problems with different starting points. You may specify the starting points via the function start. If a random number generator is used to generate the starting points then the argument repeat allows you to specify whether a repeatable set of points are generated or whether different starting points are generated on different calls. The resulting local minima are ordered and the best nb results returned in order of ascending values of the resulting objective function values at the minima. Thus the value returned in position 1 will be the best result obtained. If a sufficient number of different points are chosen then this is likely to be be the global minimum. Please note that the default version of start uses a random number generator to generate the starting points.

4  References

Dennis J E Jr and Moré J J (1977) Quasi-Newton methods, motivation and theory SIAM Rev. 19 46–89
Dennis J E Jr and Schnabel R B (1981) A new derivation of symmetric positive-definite secant updates nonlinear programming (eds O L Mangasarian, R R Meyer and S M Robinson) 4 167–199 Academic Press
Dennis J E Jr and Schnabel R B (1983) Numerical Methods for Unconstrained Optimization and Nonlinear Equations Prentice–Hall
Fletcher R (1987) Practical Methods of Optimization (2nd Edition) Wiley
Gill P E, Hammarling S, Murray W, Saunders M A and Wright M H (1986) Users' guide for LSSOL (Version 1.0) Report SOL 86-1 Department of Operations Research, Stanford University
Gill P E, Murray W, Saunders M A and Wright M H (1984) Users' guide for SOL/QPSOL version 3.2 Report SOL 84–5 Department of Operations Research, Stanford University
Gill P E, Murray W, Saunders M A and Wright M H (1986a) Some theoretical properties of an augmented Lagrangian merit function Report SOL 86–6R Department of Operations Research, Stanford University
Gill P E, Murray W, Saunders M A and Wright M H (1986b) Users' guide for NPSOL (Version 4.0): a Fortran package for nonlinear programming Report SOL 86-2 Department of Operations Research, Stanford University
Gill P E, Murray W and Wright M H (1981) Practical Optimization Academic Press
Powell M J D (1974) Introduction to constrained optimization Numerical Methods for Constrained Optimization (eds P E Gill and W Murray) 1–28 Academic Press
Powell M J D (1983) Variable metric methods in constrained optimization Mathematical Programming: the State of the Art (eds A Bachem, M Grötschel and B Korte) 288–311 Springer–Verlag

5  Arguments

1:     nIntegerInput
On entry: n, the number of variables.
Constraint: n>0.
2:     nclinIntegerInput
On entry: nL, the number of general linear constraints.
Constraint: nclin0.
3:     ncnlnIntegerInput
On entry: nN, the number of nonlinear constraints.
Constraint: ncnln0.
4:     a[dim]const doubleInput
Note: the dimension, dim, of the array a must be at least nclin×tda.
On entry: the matrix AL of general linear constraints in (1). That is, a[i-1×tda+j-1] must contain the jth coefficient of the ith general linear constraint, for j=1,2,,n and i=1,2,,nclin. If nclin=0 then a may be specified as NULL.
5:     tdaIntegerInput
On entry: the stride separating matrix column elements in the array a.
Constraints:
  • if nclin>0, tdan.
6:     bl[n+nclin+ncnln]const doubleInput
7:     bu[n+nclin+ncnln]const doubleInput
On entry: bl must contain the lower bounds and bu the upper bounds for all the constraints in the following order. The first n elements of each array must contain the bounds on the variables, the next nL elements the bounds for the general linear constraints (if any) and the next nN elements the bounds for the general nonlinear constraints (if any). To specify a nonexistent lower bound (i.e., lj=-), set bl[j-1]-bigbnd, and to specify a nonexistent upper bound (i.e., uj=+), set bu[j-1]bigbnd; the default value of bigbnd is 1020, but this may be changed by the optional argument Infinite Bound Size. To specify the jth constraint as an equality, set bl[j-1]=bu[j-1]=β, say, where β<bigbnd.
Constraints:
  • bl[j-1]bu[j-1], for j=1,2,,n+nclin+ncnln;
  • if bl[j-1]=bu[j-1]=β, β<bigbnd.
8:     confunfunction, supplied by the userExternal Function
confun must calculate the vector cx of nonlinear constraint functions and (optionally) its Jacobian (= c x ) for a specified n-element vector x. If there are no nonlinear constraints (i.e., ncnln=0), confun will never be called by nag_glopt_nlp_multistart_sqp (e05ucc) and the NAG defined null void function pointer, NULLFN, can be supplied in the call instead. If there are nonlinear constraints, the first call to confun will occur before the first call to objfun.
The specification of confun is:
void  confun (Integer *mode, Integer ncnln, Integer n, Integer tdcjsl, const Integer needc[], const double x[], double c[], double cjsl[], Integer nstate, Nag_Comm *comm)
1:     modeInteger *Input/Output
On entry: indicates which values must be assigned during each call of confun. Only the following values need be assigned, for each value of i such that needc[i-1]>0:
mode=0
c[i-1].
mode=1
All available elements in CJSLi,j, for j=1,2,,n (see cjsl for the definition of CJSL).
mode=2
c[i-1] and all available elements in CJSLi,j, for j=1,2,,n (see cjsl for the definition of CJSL).
On exit: may be set to a negative value if you wish to abandon the solution to the current local minimization problem. In this case nag_glopt_nlp_multistart_sqp (e05ucc) will move to the next local minimization problem.
2:     ncnlnIntegerInput
On entry: nN, the number of nonlinear constraints.
3:     nIntegerInput
On entry: n, the number of variables.
4:     tdcjslIntegerInput
On entry: the stride separating matrix column elements in the array cjsl.
5:     needc[ncnln]const IntegerInput
On entry: the indices of the elements of c and/or cjsl that must be evaluated by confun. If needc[i-1]>0, c[i-1] and/or the available elements of CJSLi,j, for j=1,2,,n (see argument mode) must be evaluated at x. See cjsl for the definition of CJSL.
6:     x[n]const doubleInput
On entry: x, the vector of variables at which the constraint functions and/or the available elements of the constraint Jacobian are to be evaluated.
7:     c[ncnln]doubleOutput
On exit: if needc[k-1]>0 and mode=0 or 2, c[k-1] must contain the value of ckx. The remaining elements of c, corresponding to the non-positive elements of needc, need not be set.
8:     cjsl[ncnln×tdcjsl]doubleInput/Output
Note: where CJSLk,j appears in this document, it refers to the array element cjsl[k-1×tdcjsl+j-1].
cjsl may be regarded as a two-dimensional ‘slice’ in row order of the three-dimensional matrix CJAC stored in the array cjac of nag_glopt_nlp_multistart_sqp (e05ucc).
On entry: unless Derivative Level=2 or 3, the elements of cjsl are set to special values which enable nag_glopt_nlp_multistart_sqp (e05ucc) to detect whether they are changed by confun.
On exit: if needc[k-1]>0 and mode=1 or 2, CJSLk,j, for j=1,2,,n, must contain the available elements of the vector ck given by
ck= ck x1 , ck x2 ,, ck xn T,
where ck xj  is the partial derivative of the kth constraint with respect to the jth variable, evaluated at the point x. See also the argument nstate. The remaining CJSLk,j, for j=1,2,,n, corresponding to non-positive elements of needc, need not be set.
If all elements of the constraint Jacobian are known (i.e., Derivative Level=2 or 3), any constant elements may be assigned to cjsl one time only at the start of each local optimization. An element of cjsl that is not subsequently assigned in confun will retain its initial value throughout the local optimization. Constant elements may be loaded into cjsl during the first call to confun for the local optimization (signalled by the value nstate=1). The ability to preload constants is useful when many Jacobian elements are identically zero, in which case cjsl may be initialized to zero and nonzero elements may be reset by confun.
Note that constant nonzero elements do affect the values of the constraints. Thus, if CJSLk,j is set to a constant value, it need not be reset in subsequent calls to confun, but the value CJSLk,j×x[j-1] must nonetheless be added to c[k-1]. For example, if CJSL1,1=2 and CJSL1,2=-5 then the term 2×x[0]-5×x[1] must be included in the definition of c[0].
It must be emphasized that, if Derivative Level=0 or 1, unassigned elements of cjsl are not treated as constant; they are estimated by finite differences, at nontrivial expense. If you do not supply a value for the optional argument Difference Interval, an interval for each element of x is computed automatically at the start of each local optimization. The automatic procedure can usually identify constant elements of cjsl, which are then computed once only by finite differences.
9:     nstateIntegerInput
On entry: if nstate=1 then nag_glopt_nlp_multistart_sqp (e05ucc) is calling confun for the first time on the current local optimization problem. This argument setting allows you to save computation time if certain data must be calculated only once.
10:   commNag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to confun.
userdouble *
iuserInteger *
pPointer 
The type Pointer will be void *. Before calling nag_glopt_nlp_multistart_sqp (e05ucc) you may allocate memory and initialize these pointers with various quantities for use by confun when called from nag_glopt_nlp_multistart_sqp (e05ucc) (see Section 3.2.1 in the Essential Introduction).
confun should be tested separately before being used in conjunction with nag_glopt_nlp_multistart_sqp (e05ucc). See also the description of the optional argument Verify.
9:     objfunfunction, supplied by the userExternal Function
objfun must calculate the objective function Fx and (optionally) its gradient gx = F x  for a specified n-vector x.
The specification of objfun is:
void  objfun (Integer *mode, Integer n, const double x[], double *objf, double objgrd[], Integer nstate, Nag_Comm *comm)
1:     modeInteger *Input/Output
On entry: indicates which values must be assigned during each call of objfun. Only the following values need be assigned:
mode=0
objf.
mode=1
All available elements of objgrd.
mode=2
objf and all available elements of objgrd.
On exit: may be set to a negative value if you wish to abandon the solution to the current local minimization problem. In this case nag_glopt_nlp_multistart_sqp (e05ucc) will move to the next local minimization problem.
2:     nIntegerInput
On entry: n, the number of variables.
3:     x[n]const doubleInput
On entry: x, the vector of variables at which the objective function and/or all available elements of its gradient are to be evaluated.
4:     objfdouble *Output
On exit: if mode=0 or 2, objf must be set to the value of the objective function at x.
5:     objgrd[n]doubleInput/Output
On entry: the elements of objgrd are set to special values which enable nag_glopt_nlp_multistart_sqp (e05ucc) to detect whether they are changed by objfun.
On exit: if mode=1 or 2, objgrd must return the available elements of the gradient evaluated at x.
6:     nstateIntegerInput
On entry: if nstate=1 then nag_glopt_nlp_multistart_sqp (e05ucc) is calling objfun for the first time on the current local optimization problem. This argument setting allows you to save computation time if certain data must be calculated only once.
7:     commNag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to objfun.
userdouble *
iuserInteger *
pPointer 
The type Pointer will be void *. Before calling nag_glopt_nlp_multistart_sqp (e05ucc) you may allocate memory and initialize these pointers with various quantities for use by objfun when called from nag_glopt_nlp_multistart_sqp (e05ucc) (see Section 3.2.1 in the Essential Introduction).
objfun should be tested separately before being used in conjunction with nag_glopt_nlp_multistart_sqp (e05ucc). See also the description of the optional argument Verify.
10:   nptsIntegerInput
On entry: the number of different starting points to be generated and used. The more points used, the more likely that the best returned solution will be a global minimum.
Constraint: 1nbnpts.
11:   x[ldx×nb]doubleOutput
Note: where Xj,i appears in this document, it refers to the array element x[i-1×ldx+j-1].
On exit: Xj,i contains the final estimate of the ith solution, for j=1,2,,n.
12:   ldxIntegerInput
On entry: the first dimension of X as stored in the array x.
Constraint: ldxn.
13:   startfunction, supplied by the userExternal Function
start must calculate the npts starting points to be used by the local optimizer. If you do not wish to write a function specific to your problem then you can specify the NAG defined null void function pointer, NULLFN in the call. In this case, a default function uses the NAG quasi-random number generators to distribute starting points uniformly across the domain. It is affected by the value of repeat.
The specification of start is:
void  start (Integer npts, double quas[], Integer n, Nag_Boolean repeat, const double bl[], const double bu[], Nag_Comm *comm, Integer *mode)
1:     nptsIntegerInput
On entry: indicates the number of starting points.
2:     quas[n×npts]doubleInput/Output
On entry: all elements of quas will have been set to zero, so only non-zero values need be set subsequently.
On exit: must contain the starting points for the npts local minimizations, i.e., quas[j-1×npts+i-1] must contain the jth component of the ith starting point.
3:     nIntegerInput
On entry: the number of variables.
4:     repeatNag_BooleanInput
On entry: specifies whether a repeatable or non-repeatable sequence of points are to be generated.
5:     bl[n]const doubleInput
On entry: the lower bounds on the variables. These may be used to ensure that the starting points generated in some sense ‘cover’ the region, but there is no requirement that a starting point be feasible.
6:     bu[n]const doubleInput
On entry: the upper bounds on the variables. (See bl.)
7:     commNag_Comm *
Pointer to structure of type Nag_Comm; the following members are relevant to start.
userdouble *
iuserInteger *
pPointer 
The type Pointer will be void *. Before calling nag_glopt_nlp_multistart_sqp (e05ucc) you may allocate memory and initialize these pointers with various quantities for use by start when called from nag_glopt_nlp_multistart_sqp (e05ucc) (see Section 3.2.1 in the Essential Introduction).
8:     modeInteger *Input/Output
On entry: mode will contain 0.
On exit: if you set mode to a negative value then nag_glopt_nlp_multistart_sqp (e05ucc) will terminate immediately with fail.code= NE_USER_STOP. Provided fail is not NAGERR_DEFAULT on entry to nag_glopt_nlp_multistart_sqp (e05ucc), fail.errnum will contain this value of mode.
14:   repeatNag_BooleanInput
On entry: is passed as an argument to start and may be used to initialize a random number generator to a repeatable, or non-repeatable, sequence.
15:   nbIntegerInput
On entry: the number of solutions to be returned. The function saves up to nb local minima ordered in increasing value of the final objective function. If the defining criterion for ‘best solution’ is only that the value of the objective function is as small as possible then nb should be set to 1. However, if you want to look at other solutions that may have desirable properties then setting nb>1 will produce nb local minima, ordered in increasing value of their objective functions at the minima.
Constraint: 1nbnpts.
16:   objf[nb]doubleOutput
On exit: objf[i-1] contains the value of the objective function at the final iterate for the ith solution.
17:   objgrd[ldobjgrd×nb]doubleOutput
Note: where OBJGRDj,i appears in this document, it refers to the array element objgrd[i-1×ldobjgrd+j-1].
On exit: OBJGRDj,i contains the gradient of the objective function for the ith solution at the final iterate (or its finite difference approximation), for j=1,2,,n.
18:   ldobjgrdIntegerInput
On entry: the first dimension of OBJGRD as stored in the array objgrd.
Constraint: ldobjgrdn.
19:   iter[nb]IntegerOutput
On exit: iter[i-1] contains the number of major iterations performed to obtain the ith solution.
20:   c[ldc×nb]doubleOutput
Note: where Cj,i appears in this document, it refers to the array element c[i-1×ldc+j-1].
On exit: if ncnln>0, Cj,i contains the value of the jth nonlinear constraint function cj at the final iterate, for the ith solution, for j=1,2,,ncnln.
If ncnln=0, the array c is not referenced and may be specified as NULL.
21:   ldcIntegerInput
On entry: the first dimension of C as stored in the array c.
Constraint: ldcncnln.
22:   cjac[ldcjac×sdcjac×nb]doubleOutput
Note: the element CJACk,j,i is stored in the array element cjac i-1 × ldcjac × sdcjac + j-1 × sdcjac + k-1 .
On exit: if ncnln>0, cjac contains the Jacobian matrices of the nonlinear constraint functions at the final iterate for each of the returned solutions, i.e., CJACk,j,i contains the partial derivative of the kth constraint function with respect to the jth variable, for k=1,2,,ncnln and j=1,2,,n, for the ith solution. (See the discussion of argument cjsl under confun.)
If ncnln=0, the array cjac is not referenced and may be specified as NULL.
23:   ldcjacIntegerInput
On entry: the first dimension of the matrix CJAC as stored in the array cjac.
Constraint: ldcjacncnln.
24:   sdcjacIntegerInput
On entry: the second dimension of the matrix CJAC as stored in the array cjac.
Constraint: if ncnln>0, sdcjacn.
25:   r[ldr×sdr×nb]doubleOutput
Note: the element Ri,j,k is stored in the array element r[k-1×ldr×sdr+j-1×sdr+i-1].
On exit: for each of the nb solutions r will contain a form of the Hessian; for the ith returned solution Rldr,sdr,i contains the Hessian that would be returned from the local minimizer. If Hessian=NO, each Rldr,sdr,i contains the upper triangular Cholesky factor R of QTHQ, an estimate of the transformed and reordered Hessian of the Lagrangian at x. If Hessian=YES, Rldr,sdr,i contains the upper triangular Cholesky factor R of H, the approximate (untransformed) Hessian of the Lagrangian, with the variables in the natural order.
26:   ldrIntegerInput
On entry: the first dimension of the matrix R as stored in the array r.
Constraint: ldrn.
27:   sdrIntegerInput
On entry: the second dimension of the matrix R as stored in the array r.
Constraint: sdrn.
28:   clamda[ldclamda×nb]doubleOutput
Note: where CLAMDAj,i appears in this document, it refers to the array element clamda[i-1×ldclamda+j-1].
On exit: the values of the QP multipliers from the last QP subproblem solved for the ith solution. CLAMDAj,i should be non-negative if ISTATEj,i=1 and non-positive if ISTATEj,i=2.
29:   ldclamdaIntegerInput
On entry: the first dimension of CLAMDA as stored in the array clamda.
Constraint: ldclamdan+nclin+ncnln.
30:   istate[ldistate×nb]IntegerOutput
Note: where ISTATEj,i appears in this document, it refers to the array element istate[i-1×ldistate+j-1].
On exit: ISTATEj,i contains the status of the constraints in the QP working set for the ith solution. The significance of each possible value of ISTATEj,i is as follows:
ISTATEj,i Meaning
-2 This constraint violates its lower bound by more than the appropriate feasibility tolerance (see the optional arguments Linear Feasibility Tolerance and Nonlinear Feasibility Tolerance). This value can occur only when no feasible point can be found for a QP subproblem.
-1 This constraint violates its upper bound by more than the appropriate feasibility tolerance (see the optional arguments Linear Feasibility Tolerance and Nonlinear Feasibility Tolerance). This value can occur only when no feasible point can be found for a QP subproblem.
-0 The constraint is satisfied to within the feasibility tolerance, but is not in the QP working set.
-1 This inequality constraint is included in the QP working set at its lower bound.
-2 This inequality constraint is included in the QP working set at its upper bound.
-3 This constraint is included in the QP working set as an equality. This value of istate can occur only when bl[j-1]=bu[j-1].
31:   ldistateIntegerInput
On entry: the first dimension of ISTATE as stored in the array istate.
Constraint: ldistaten+nclin+ncnln.
32:   iopts[740]IntegerCommunication Array
33:   opts[485]doubleCommunication Array
The arrays iopts and opts MUST NOT be altered between calls to any of the functions nag_glopt_nlp_multistart_sqp (e05ucc) and nag_glopt_opt_set (e05zkc).
34:   commNag_Comm *Communication Structure
The NAG communication argument (see Section 3.2.1.1 in the Essential Introduction).
35:   info[nb]IntegerOutput
On exit: info[i-1] contains one of 0, 1 or 6.
info[i-1]=1
The final iterate x satisfies the first-order Kuhn–Tucker conditions (see Section 10.1) to the accuracy requested, but the sequence of iterates has not yet converged. The local optimizer was terminated because no further improvement could be made in the merit function (see Section 8.1).
info[i-1]=6
x does not satisfy the first-order Kuhn–Tucker conditions (see Section 10.1) and no improved point for the merit function (see Section 8.1) could be found during the final linesearch.
This sometimes occurs because an overly stringent accuracy has been requested, i.e., the value of the optional argument Optimality Tolerance (default value=εR0.8, where εR is the value of the optional argument Function Precision (default value=ε0.9, where ε is the machine precision)) is too small.
As usual 0 denotes success.
If fail.code= NW_SOME_SOLUTIONS on exit, then not all nb solutions have been found, and info[nb-1] contains the number of solutions actually found.
36:   failNagError *Input/Output
The NAG error argument (see Section 3.6 in the Essential Introduction).

6  Error Indicators and Warnings

NE_ALLOC_FAIL
Dynamic memory allocation failed.
NE_BAD_PARAM
On entry, argument value had an illegal value.
NE_BOUND
On entry, bl[i-1]>bu[i-1]: i=value.
Constraint: bl[i-1]bu[i-1], for all i.
NE_DERIV_ERRORS
User-supplied derivatives probably wrong.
Further information:
The user-supplied derivatives of the objective function and/or nonlinear constraints appear to be incorrect.
Large errors were found in the derivatives of the objective function and/or nonlinear constraints. This value of fail.code will occur if the verification process indicated that at least one gradient or Jacobian element had no correct figures. You should refer to or enable the printed output to determine which elements are suspected to be in error.
As a first-step, you should check that the code for the objective and constraint values is correct – for example, by computing the function at a point where the correct value is known. However, care should be taken that the chosen point fully tests the evaluation of the function. It is remarkable how often the values x=0 or x=1 are used to test function evaluation procedures, and how often the special properties of these numbers make the test meaningless.
Gradient checking will be ineffective if the objective function uses information computed by the constraints, since they are not necessarily computed before each function evaluation.
Errors in programming the function may be quite subtle in that the function value is ‘almost’ correct. For example, the function may not be accurate to full precision because of the inaccurate calculation of a subsidiary quantity, or the limited accuracy of data upon which the function depends. A common error on machines where numerical calculations are usually performed in double precision is to include even one single precision constant in the calculation of the function; since some compilers do not convert such constants to double precision, half the correct figures may be lost by such a seemingly trivial error.
NE_INT
On entry, n=value.
Constraint: n>0.
On entry, nclin=value.
Constraint: nclin0.
On entry, ncnln=value.
Constraint: ncnln0.
NE_INT_2
On entry, ldc=value and ncnln=value.
Constraint: ldcncnln.
On entry, ldcjac=value and ncnln=value.
Constraint: ldcjacncnln.
On entry, ldobjgrd=value and n=value.
Constraint: ldobjgrdn.
On entry, ldr=value and n=value.
Constraint: ldrn.
On entry, ldx=value and n=value.
Constraint: ldxn.
On entry, nb=value and npts=value.
Constraint: 1nbnpts.
On entry, sdr=value and n=value.
Constraint: sdrn.
NE_INT_3
On entry, ncnln>0, sdcjac=value and n=value.
Constraint: if ncnln>0, sdcjacn.
On entry, tda=value, nclin=value and n=value.
Constraint: if nclin>0, tdan.
NE_INT_4
On entry, ldclamda=value, n=value, nclin=value and ncnln=value.
Constraint: ldclamdan+nclin+ncnln.
On entry, ldistate=value, n=value, nclin=value and ncnln=value.
Constraint: ldistaten+nclin+ncnln.
NE_INTERNAL_ERROR
An internal error has occurred in this function. Check the function call and any array sizes. If the call is correct then please contact NAG for assistance.
NE_LIN_NOT_FEASIBLE
No solution obtained. Linear constraints may be infeasible.
Further information:
nag_glopt_nlp_multistart_sqp (e05ucc) has terminated without finding any solutions. The majority of calls to the local optimizer have failed to find a feasible point for the linear constraints and bounds, which means that either no feasible point exists for the given value of the optional parameter Linear Feasibility Tolerance (default value ε, where ε is the machine precision), or no feasible point could be found in the number of iterations specified by the optional parameter Minor Iteration Limit. You should check that there are no constraint redundancies. If the data for the constraints are accurate only to an absolute precision σ, you should ensure that the value of the optional argument Linear Feasibility Tolerance is greater than σ. For example, if all elements of AL are of order unity and are accurate to only three decimal places, Linear Feasibility Tolerance should be at least 10-3.
NE_NO_SOLUTION
No solution obtained. Many potential solutions reach iteration limit.
NE_NONLIN_NOT_FEASIBLE
No solution obtained. Nonlinear constraints may be infeasible.
Further information:
nag_glopt_nlp_multistart_sqp (e05ucc) has failed to find any solutions. The majority of local optimizations could not find a feasible point for the nonlinear constraints. The problem may have no feasible solution. This behaviour will occur if there is no feasible point for the nonlinear constraints. (However, there is no general test that can determine whether a feasible point exists for a set of nonlinear constraints.)
NE_USER_STOP
User terminated computation from start procedure: mode=value.
NW_SOME_SOLUTIONS
Only value solutions obtained.

7  Accuracy

If fail.code= NE_NOERROR on exit and the value of info[i-1]=0, then the vector returned in the array x for solution i is an estimate of the solution to an accuracy of approximately Optimality Tolerance.

8  Further Comments

You should be wary of requesting much intermediate output from the local optimizer, since large volumes may be produced if npts is large.
If NULLFN is supplied an actual argument from start then the default NAG function makes use of the NAG quasi-random Sobol generator (nag_quasi_init (g05ylc) and nag_quasi_rand_uniform (g05ymc)). If this is used as an argument for start, by specifying NULLFN in the calling sequence (see the description of start) and repeat=Nag_FALSE then a randomly chosen value for iskip is used, otherwise iskip is set to 100. If repeat is set to Nag_FALSE and the program is executed several times, each time producing the same best answer, then there is increased probability that this answer is a global minimum. However, if it is important that identical results be obtained on successive runs, then repeat should be set to Nag_TRUE.

8.1  Description of the Printed Output

This section describes the intermediate printout and final printout produced by nag_glopt_nlp_multistart_sqp (e05ucc). The intermediate printout is a subset of the monitoring information produced by the function at every iteration (see Section 12). You can control the level of printed output (see the description of the optional arguments Major Print Level and Minor Print Level). Note that the intermediate printout and final printout are produced only if Major Print Level10 or Minor Print Level10.
The following line of summary output (<80 characters) is produced at every major iteration. In all cases, the values of the quantities printed are those in effect on completion of the given iteration for each starting point.
Maj is the major iteration count.
Mnr is the number of minor iterations required by the feasibility and optimality phases of the QP subproblem. Generally, Mnr will be 1 in the later iterations, since theoretical analysis predicts that the correct active set will be identified near the solution (see Section 10).
Note that Mnr may be greater than the optional argument Minor Iteration Limit if some iterations are required for the feasibility phase.
Step is the step αk taken along the computed search direction. On reasonably well-behaved local problems, the unit step (i.e., αk=1) will be taken as the solution is approached.
Merit Function is the value of the augmented Lagrangian merit function (12) at the current iterate. This function will decrease at each iteration unless it was necessary to increase the penalty arguments (see Section 10.3). As the solution is approached, Merit Function will converge to the value of the objective function at the solution.
If the QP subproblem does not have a feasible point (signified by I at the end of the current output line) then the merit function is a large multiple of the constraint violations, weighted by the penalty arguments. During a sequence of major iterations with infeasible subproblems, the sequence of Merit Function values will decrease monotonically until either a feasible subproblem is obtained or the local optimizer terminates. Repeated failures will prevent a feasible point being found for the nonlinear constraints.
If there are no nonlinear constraints present (i.e., ncnln=0) then this entry contains Objective, the value of the objective function Fx. The objective function will decrease monotonically to its optimal value when there are no nonlinear constraints.
Norm Gz is ZTgFR, the Euclidean norm of the projected gradient (see Section 10.2). Norm Gz will be approximately zero in the neighbourhood of a solution.
Violtn is the Euclidean norm of the residuals of constraints that are violated or in the predicted active set (not printed if ncnln is zero). Violtn will be approximately zero in the neighbourhood of a solution.
Cond Hz is a lower bound on the condition number of the projected Hessian approximation HZ  ( HZ = ZT HFR Z = RZT RZ ; see (6)). The larger this number, the more difficult the local problem.
M is printed if the quasi-Newton update has been modified to ensure that the Hessian approximation is positive definite (see Section 10.4).
I is printed if the QP subproblem has no feasible point.
C is printed if central differences have been used to compute the unspecified objective and constraint gradients. If the value of Step is zero then the switch to central differences was made because no lower point could be found in the linesearch. (In this case, the QP subproblem is resolved with the central difference gradient and Jacobian.) If the value of Step is nonzero then central differences were computed because Norm Gz and Violtn imply that x is close to a Kuhn–Tucker point (see Section 10.1).
L is printed if the linesearch has produced a relative change in x greater than the value defined by the optional argument Step Limit. If this output occurs frequently during later iterations of the run, optional argument Step Limit should be set to a larger value.
R is printed if the approximate Hessian has been refactorized. If the diagonal condition estimator of R indicates that the approximate Hessian is badly conditioned then the approximate Hessian is refactorized using column interchanges. If necessary, R is modified so that its diagonal condition estimator is bounded.
The final printout includes a listing of the status of every variable and constraint. The following describes the printout for each variable. A full stop (.) is printed for any numerical value that is zero.
Varbl gives the name (V) and index j, for j=1,2,,n, of the variable.
State gives the state of the variable (FR if neither bound is in the working set, EQ if a fixed variable, LL if on its lower bound, UL if on its upper bound, TF if temporarily fixed at its current value). If Value lies outside the upper or lower bounds by more than the Feasibility Tolerance, State will be ++ or -- respectively. (The latter situation can occur only when there is no feasible point for the bounds and linear constraints.)
A key is sometimes printed before State.
A Alternative optimum possible. The variable is active at one of its bounds, but its Lagrange multiplier is essentially zero. This means that if the variable were allowed to start moving away from its bound then there would be no change to the objective function. The values of the other free variables might change, giving a genuine alternative solution. However, if there are any degenerate variables (labelled D), the actual change might prove to be zero, since one of them could encounter a bound immediately. In either case the values of the Lagrange multipliers might also change.
D Degenerate. The variable is free, but it is equal to (or very close to) one of its bounds.
I Infeasible. The variable is currently violating one of its bounds by more than the Feasibility Tolerance.
Value is the value of the variable at the final iteration.
Lower Bound is the lower bound specified for the variable. None indicates that bl[j-1]-bigbnd.
Upper Bound is the upper bound specified for the variable. None indicates that bu[j-1]bigbnd.
Lagr Mult is the Lagrange multiplier for the associated bound. This will be zero if State is FR unless bl[j-1]-bigbnd and bu[j-1]bigbnd, in which case the entry will be blank. If x is optimal, the multiplier should be non-negative if State is LL and non-positive if State is UL.
Slack is the difference between the variable Value and the nearer of its (finite) bounds bl[j-1] and bu[j-1]. A blank entry indicates that the associated variable is not bounded (i.e., bl[j-1]-bigbnd and bu[j-1]bigbnd).
The meaning of the printout for linear and nonlinear constraints is the same as that given above for variables, with ‘variable’ replaced by ‘constraint’, bl[j-1] and bu[j-1] are replaced by bl[n+j-1] and bu[n+j-1] respectively, and with the following changes in the heading:
L Con gives the name (L) and index j, for j=1,2,,nL, of the linear constraint.
N Con gives the name (N) and index (j-nL), for j=nL+1,,nL+nN, of the nonlinear constraint.
Note that movement off a constraint (as opposed to a variable moving away from its bound) can be interpreted as allowing the entry in the Slack column to become positive.
Numerical values are output with a fixed number of digits; they are not guaranteed to be accurate to this precision.

9  Example

This example finds the global minimum of the two-dimensional Schwefel function:
minimize xR2 f = j=1 2 xj sinxj
subject to the constraints:
-10000<3.0 x1 - 2.0 x2 <10.0 , -1.0 < x12 - x22 + 3.0 x1 x2 < 500000.0 , -0.9 < cos x1 / 200 2 + x2 / 100 < 0.9 , -500 x1 500 , -500 x2 500 .

9.1  Program Text

Program Text (e05ucce.c)

9.2  Program Data

Program Data (e05ucce.d)

9.3  Program Results

Program Results (e05ucce.r)

10  Algorithmic Details

This section contains a detailed description of the method used by nag_glopt_nlp_multistart_sqp (e05ucc).

10.1  Overview

nag_glopt_nlp_multistart_sqp (e05ucc) uses a local optimizer that is essentially identical to the function NPSOL described in Gill et al. (1986b).
For the local optimizer, at a solution of (1), some of the constraints will be active, i.e., satisfied exactly. An active simple bound constraint implies that the corresponding variable is fixed at its bound, and hence the variables are partitioned into fixed and free variables. Let C denote the m by n matrix of gradients of the active general linear and nonlinear constraints. The number of fixed variables will be denoted by nFX, with nFR nFR=n-nFX the number of free variables. The subscripts ‘FX’ and ‘FR’ on a vector or matrix will denote the vector or matrix composed of the elements corresponding to fixed or free variables.
A point x is a first-order Kuhn–Tucker point for (1) (see Powell (1974)) if the following conditions hold:
(i) x is feasible;
(ii) there exist vectors ξ and λ (the Lagrange multiplier vectors for the bound and general constraints) such that
g=CTλ+ξ (2)
where g is the gradient of F evaluated at x, and ξj=0 if the jth variable is free.
(iii) The Lagrange multiplier corresponding to an inequality constraint active at its lower bound must be non-negative, and non-positive for an inequality constraint active at its upper bound.
Let Z denote a matrix whose columns form a basis for the set of vectors orthogonal to the rows of CFR; i.e., CFRZ=0. An equivalent statement of the condition (2) in terms of Z is
ZTgFR=0.
The vector ZTgFR is termed the projected gradient of F at x. Certain additional conditions must be satisfied in order for a first-order Kuhn–Tucker point to be a solution of (1) (see Powell (1974)).
The local optimizer implements a sequential quadratic programming (SQP) method. For an overview of SQP methods, see, for example, Fletcher (1987), Gill et al. (1981) and Powell (1983).
The basic structure of the local optimizer involves major and minor iterations. The major iterations generate a sequence of iterates xk that converge to x*, a first-order Kuhn–Tucker point of (1). At a typical major iteration, the new iterate x- is defined by
x-=x+αp (3)
where x is the current iterate, the non-negative scalar α is the step length, and p is the search direction. (For simplicity, we shall always consider a typical iteration and avoid reference to the index of the iteration.) Also associated with each major iteration are estimates of the Lagrange multipliers and a prediction of the active set.
The search direction p in (3) is the solution of a quadratic programming subproblem of the form
minimizep ​ ​ gTp+ 12 pT Hp   subject to   l- p ALp ANp u-, (4)
where g is the gradient of F at x, the matrix H is a positive definite quasi-Newton approximation to the Hessian of the Lagrangian function (see Section 10.4), and AN is the Jacobian matrix of c evaluated at x. (Finite difference estimates may be used for g and AN; see the optional argument Derivative Level.) Let l in (1) be partitioned into three sections: lB, lL and lN, corresponding to the bound, linear and nonlinear constraints. The vector l- in (4) is similarly partitioned, and is defined as
l-B=lB-x,  l-L=lL-ALx,   and  l-N=lN-c,
where c is the vector of nonlinear constraints evaluated at x. The vector u- is defined in an analogous fashion.
The estimated Lagrange multipliers at each major iteration are the Lagrange multipliers from the subproblem (4) (and similarly for the predicted active set). (The numbers of bounds, general linear and nonlinear constraints in the QP active set are the quantities Bnd, Lin and Nln in the monitoring file output of nag_glopt_nlp_multistart_sqp (e05ucc); see Section 12.) The local optimizer repeatedly solves as major iterations quadratic programming problems. These are themselves iterative procedures and comprise the minor iterations. (More details about solving the subproblem are given in Section 10.2.)
Certain matrices associated with the QP subproblem are relevant in the major iterations. Let the subscripts ‘FX’ and ‘FR’ refer to the predicted fixed and free variables, and let C denote the m by n matrix of gradients of the general linear and nonlinear constraints in the predicted active set. First, we have available the TQ factorization of CFR:
CFRQFR= 0 T , (5)
where T is a nonsingular m by m reverse-triangular matrix (i.e., tij=0 if i+j<m), and the nonsingular nFR by nFR matrix QFR is the product of orthogonal transformations (see Gill et al. (1984)). Second, we have the upper triangular Cholesky factor R of the transformed and reordered Hessian matrix
RTR=HQQTH~Q, (6)
where H~ is the Hessian H with rows and columns permuted so that the free variables are first, and Q is the n by n matrix
Q= QFR IFX (7)
with IFX the identity matrix of order nFX. If the columns of QFR are partitioned so that
QFR= Z Y ,
the nZ (nZnFR-m) columns of Z form a basis for the null space of CFR. The matrix Z is used to compute the projected gradient ZTgFR at the current iterate. (The values Nz and Norm Gz printed by nag_glopt_nlp_multistart_sqp (e05ucc) give nZ and ZTgFR; see Section 12.)
A theoretical characteristic of SQP methods is that the predicted active set from the QP subproblem (4) is identical to the correct active set in a neighbourhood of x*. In the local optimizer underlying nag_glopt_nlp_multistart_sqp (e05ucc), this feature is exploited by using the QP active set from the previous iteration as a prediction of the active set for the next QP subproblem, which leads in practice to optimality of the subproblems in only one iteration as the solution is approached. Separate treatment of bound and linear constraints in the local optimizer also saves computation in factorizing CFR and HQ.
Once p has been computed, the major iteration proceeds by determining a step length α that produces a ‘sufficient decrease’ in an augmented Lagrangian merit function (see Section 10.3). Finally, the approximation to the transformed Hessian matrix HQ is updated using a modified BFGS quasi-Newton update (see Section 10.4) to incorporate new curvature information obtained in the move from x to x-.
On entry to the local optimizer, an iterative procedure is executed, starting with the user-supplied initial point, to find a point that is feasible with respect to the bounds and linear constraints (using the tolerance specified by optional argument Linear Feasibility Tolerance). If no feasible point exists for the bound and linear constraints, (1) has no solution and the local optimizer terminates. Otherwise, the problem functions will thereafter be evaluated only at points that are feasible with respect to the bounds and linear constraints. The only exception involves variables whose bounds differ by an amount comparable to the finite difference interval (see the discussion of optional argument Difference Interval). In contrast to the bounds and linear constraints, it must be emphasized that the nonlinear constraints will not generally be satisfied until an optimal point is reached.
Facilities are provided to check whether the user-supplied gradients appear to be correct (see the description of the optional argument Verify). In general, the check is provided at the first point that is feasible with respect to the linear constraints and bounds. However, you may request that the check be performed at the initial point.
In summary, the local method of nag_glopt_nlp_multistart_sqp (e05ucc) first determines a point that satisfies the bound and linear constraints. Thereafter, each iteration includes:
(a) the solution of a quadratic programming subproblem;
(b) a linesearch with an augmented Lagrangian merit function; and
(c) a quasi-Newton update of the approximate Hessian of the Lagrangian function.
These three procedures are described in more detail in Sections 10.2 to 10.4.

10.2  Solution of the Quadratic Programming Subproblem

The search direction p is obtained by solving (4) using a method (see Gill et al. (1986)) that was specifically designed to be used within an SQP algorithm for nonlinear programming. This method is based on a two-phase (primal) quadratic programming method. The two phases of the method are: finding an initial feasible point by minimizing the sum of infeasibilities (the feasibility phase), and minimizing the quadratic objective function within the feasible region (the optimality phase). The computations in both phases are performed by the same functions. The two-phase nature of the algorithm is reflected by changing the function being minimized from the sum of infeasibilities to the quadratic objective function.
In general, a quadratic program must be solved by iteration. Let p denote the current estimate of the solution of (4); the new iterate p- is defined by
p-=p+σd (8)
where, as in (3), σ is a non-negative step length and d is a search direction.
At the beginning of each iteration of the QP method, a working set is defined of constraints (general and bound) that are satisfied exactly. The vector d is then constructed so that the values of constraints in the working set remain unaltered for any move along d. For a bound constraint in the working set, this property is achieved by setting the corresponding element of d to zero, i.e., by fixing the variable at its bound. As before, the subscripts ‘FX’ and ‘FR’ denote selection of the elements associated with the fixed and free variables.
Let C denote the sub-matrix of rows of
AL AN
corresponding to general constraints in the working set. The general constraints in the working set will remain unaltered if
CFRdFR=0, (9)
which is equivalent to defining dFR as
dFR=ZdZ (10)
for some vector dZ, where Z is the matrix associated with the TQ factorization (5) of CFR.
The definition of dZ in (10) depends on whether the current p is feasible. If not, dZ is zero except for an element γ in the jth position, where j and γ are chosen so that the sum of infeasibilities is decreasing along d. (For further details, see Gill et al. (1986).) In the feasible case, dZ satisfies the equations
RZT RZ dZ = - ZT qFR , (11)
where RZ is the Cholesky factor of ZTHFRZ and q is the gradient of the quadratic objective function q=g+Hp. (The vector ZTqFR is the projected gradient of the QP.) With (11), p+d is the minimizer of the quadratic objective function subject to treating the constraints in the working set as equalities.
If the QP projected gradient is zero, the current point is a constrained stationary point in the subspace defined by the working set. During the feasibility phase, the projected gradient will usually be zero only at a vertex (although it may vanish at non-vertices in the presence of constraint dependencies). During the optimality phase, a zero projected gradient implies that p minimizes the quadratic objective function when the constraints in the working set are treated as equalities. In either case, Lagrange multipliers are computed. Given a positive constant δ of the order of the machine precision, the Lagrange multiplier μj corresponding to an inequality constraint in the working set is said to be optimal if μjδ when the jth constraint is at its upper bound, or if μj-δ when the associated constraint is at its lower bound. If any multiplier is nonoptimal, the current objective function (either the true objective or the sum of infeasibilities) can be reduced by deleting the corresponding constraint from the working set.
If optimal multipliers occur during the feasibility phase and the sum of infeasibilities is nonzero, no feasible point exists. The QP algorithm will then continue iterating to determine the minimum sum of infeasibilities. At this point, the Lagrange multiplier μj will satisfy -1+δμjδ for an inequality constraint at its upper bound, and -δμj1+δ for an inequality at its lower bound. The Lagrange multiplier for an equality constraint will satisfy μj1+δ.
The choice of step length σ in the QP iteration (8) is based on remaining feasible with respect to the satisfied constraints. During the optimality phase, if p+d is feasible, σ will be taken as unity. (In this case, the projected gradient at p- will be zero.) Otherwise, σ is set to σM, the step to the ‘nearest’ constraint, which is added to the working set at the next iteration.
Each change in the working set leads to a simple change to CFR: if the status of a general constraint changes, a row of CFR is altered; if a bound constraint enters or leaves the working set, a column of CFR changes. Explicit representations are recurred of the matrices T, QFR and R, and of the vectors QTq and QTg.

10.3  The Merit Function

After computing the search direction as described in Section 10.2, each major iteration proceeds by determining a step length α in (3) that produces a ‘sufficient decrease’ in the augmented Lagrangian merit function
L x,λ,s = Fx - i λi ci x - si + 12 i ρi ci x - si 2 , (12)
where x, λ and s vary during the linesearch. The summation terms in (12) involve only the nonlinear constraints. The vector λ is an estimate of the Lagrange multipliers for the nonlinear constraints of (1). The non-negative slack variables si allow nonlinear inequality constraints to be treated without introducing discontinuities. The solution of the QP subproblem (4) provides a vector triple that serves as a direction of search for the three sets of variables. The non-negative vector ρ of penalty arguments is initialized to zero at the beginning of the first major iteration. Thereafter, selected elements are increased whenever necessary to ensure descent for the merit function. Thus, the sequence of norms of ρ (the printed quantity Penalty; see Section 12) is generally nondecreasing, although each ρi may be reduced a limited number of times.
The merit function (12) and its global convergence properties are described in Gill et al. (1986a).

10.4  The Quasi-Newton Update

The matrix H in (4) is a positive definite quasi-Newton approximation to the Hessian of the Lagrangian function. (For a review of quasi-Newton methods, see Dennis and Schnabel (1983).) At the end of each major iteration, a new Hessian approximation H- is defined as a rank-two modification of H. In the local optimizer used by nag_glopt_nlp_multistart_sqp (e05ucc), the BFGS (Broyden–Fletcher–Goldfarb–Shanno) quasi-Newton update is used:
H-=H-1sTHs HssTH+1yTs yyT, (13)
where s=x--x (the change in x).
In the local optimizer, H is required to be positive definite. If H is positive definite, H- defined by (13) will be positive definite if and only if yTs is positive (see Dennis and Moré (1977)). Ideally, y in (13) would be taken as yL, the change in gradient of the Lagrangian function
yL = g- - A-NT μN - g + ANT μN , (14)
where μN denotes the QP multipliers associated with the nonlinear constraints of the original problem. If yLT s  is not sufficiently positive, an attempt is made to perform the update with a vector y of the form
y=yL+i=1mNωiaix^cix^-aixcix,
where ωi0. If no such vector can be found, the update is performed with a scaled yL; in this case, M is printed to indicate that the update was modified.
Rather than modifying H itself, the Cholesky factor of the transformed Hessian HQ (6) is updated, where Q is the matrix from (5) associated with the active set of the QP subproblem. The update (13) is equivalent to the following update to HQ:
H-Q = HQ - 1 sQT HQ sQ HQ sQ sQT HQ + 1 yQT sQ yQ yQT , (15)
where yQ=QTy, and sQ=QTs. This update may be expressed as a rank-one update to R (see Dennis and Schnabel (1981)).

11  Optional Arguments

Several optional arguments in nag_glopt_nlp_multistart_sqp (e05ucc) define choices in the problem specification or the algorithm logic. In order to reduce the number of formal arguments of nag_glopt_nlp_multistart_sqp (e05ucc) these optional arguments have associated default values that are appropriate for most problems. Therefore you need only specify those optional arguments whose values are to be different from their default values.
The remainder of this section can be skipped if you wish to use the default values for all optional arguments. The following is a list of the optional arguments available and a full description of each optional argument is provided in Section 11.1.
Optional arguments may be specified by calling nag_glopt_opt_set (e05zkc) before a call to nag_glopt_nlp_multistart_sqp (e05ucc). Before calling nag_glopt_nlp_multistart_sqp (e05ucc), the optional argument arrays iopts and opts MUST be initialized for use with nag_glopt_nlp_multistart_sqp (e05ucc) by calling nag_glopt_opt_set (e05zkc) with optstr set to ‘Initialize = e05ucc’.
All optional arguments not specified are set to their default values. Optional arguments specified are unaltered by nag_glopt_nlp_multistart_sqp (e05ucc) (unless they define invalid values) and so remain in effect for subsequent calls to nag_glopt_nlp_multistart_sqp (e05ucc).

11.1  Description of the Optional Arguments

For each option, we give a summary line, a description of the optional argument and details of constraints.
The summary line contains:
Keywords and character values are case insensitive, however they must be separated by at least one whitespace.
Optional arguments used to specify files have type Nag_FileID (see Section 3.2.1.1 in the Essential Introduction). This ID value must either be set to 0 (the default value) in which case there will be no output, or will be as returned by a call of nag_open_file (x04acc).
For nag_glopt_nlp_multistart_sqp (e05ucc) the maximum length of the argument cvalue used by nag_glopt_opt_get (e05zlc) is 11.
Central Difference IntervalrDefault values are computed
If the algorithm switches to central differences because the forward-difference approximation is not sufficiently accurate, the value of r is used as the difference interval for every element of x. The switch to central differences is indicated by C at the end of each line of intermediate printout produced by the major iterations (see Section 8.1). The use of finite differences is discussed further under the optional argument Difference Interval.
If you supply a value for this optional argument, a small value between 0.0 and 1.0 is appropriate.
Crash TolerancerDefault =0.01
This value is used when the local minimizer selects an initial working set. If 0r1, the initial working set will include (if possible) bounds or general inequality constraints that lie within r of their bounds. In particular, a constraint of the form ajT xl  will be included in the initial working set if ajT x-l r 1+l . If r<0 or r>1, the default value is used.
Defaults
This special keyword may be used to reset all optional arguments to their default values.
Derivative LeveliDefault =3
This argument indicates which derivatives are provided in user-supplied functions objfun and confun. The possible choices for i are the following.
i Meaning
3 All elements of the objective gradient and the constraint Jacobian are provided.
2 All elements of the constraint Jacobian are provided, but some elements of the objective gradient are not specified.
1 All elements of the objective gradient are provided, but some elements of the constraint Jacobian are not specified.
0 Some elements of both the objective gradient and the constraint Jacobian are not specified.
The value i=3 should be used whenever possible, since nag_glopt_nlp_multistart_sqp (e05ucc) is more reliable (and will usually be more efficient) when all derivatives are exact.
If i=0​ or ​2, nag_glopt_nlp_multistart_sqp (e05ucc) will estimate the unspecified elements of the objective gradient, using finite differences. The computation of finite difference approximations usually increases the total run-time, since a call to objfun is required for each unspecified element. Furthermore, less accuracy can be attained in the solution (see Chapter 8 of Gill et al. (1981), for a discussion of limiting accuracy).
If i=0​ or ​1, nag_glopt_nlp_multistart_sqp (e05ucc) will approximate unspecified elements of the constraint Jacobian. One call to confun is needed for each variable for which partial derivatives are not available. For example, if the Jacobian has the form
* * * * * ? ? * * * ? * * * * *
where ‘*’ indicates an element provided by you and ‘?’ indicates an unspecified element, the local minimizer will call confun twice: once to estimate the missing element in column 2, and again to estimate the two missing elements in column 3. (Since columns 1 and 4 are known, they require no calls to confun.)
At times, central differences are used rather than forward differences, in which case twice as many calls to objfun and confun are needed. (The switch to central differences is not under your control.)
If i<0 or i>3, the default value is used.
Difference IntervalrDefault values are computed
This option defines an interval used to estimate derivatives by finite differences in the following circumstances:
(a) For verifying the objective and/or constraint gradients (see the description of the optional argument Verify).
(b) For estimating unspecified elements of the objective gradient or the constraint Jacobian.
In general, a derivative with respect to the jth variable is approximated using the interval δj, where δj=r1+x^j, with x^ the first point feasible with respect to the bounds and linear constraints. If the functions are well scaled, the resulting derivative approximation should be accurate to Or. See Gill et al. (1981) for a discussion of the accuracy in finite difference approximations.
If a difference interval is not specified, a finite difference interval will be computed automatically for each variable by a procedure that requires up to six calls of confun and objfun for each element. This option is recommended if the function is badly scaled or you wish to have the local minimizer determine constant elements in the objective and constraint gradients (see the descriptions of confun and objfun in Section 5).
If you supply a value for this optional argument, a small value between 0.0 and 1.0 is appropriate.
Feasibility TolerancerDefault =ε
The scalar r defines the maximum acceptable absolute violations in linear and nonlinear constraints at a ‘feasible’ point; i.e., a constraint is considered satisfied if its violation does not exceed r. If r<ε or r1, the default value is used. Using this keyword sets both optional arguments Linear Feasibility Tolerance and Nonlinear Feasibility Tolerance to r, if εr<1. (Additional details are given under the descriptions of these optional arguments.)
Function PrecisionrDefault =ε0.9
This argument defines εr, which is intended to be a measure of the accuracy with which the problem functions Fx and cx can be computed. If r<ε or r1, the default value is used.
The value of εr should reflect the relative precision of 1+Fx; i.e., εr acts as a relative precision when F is large, and as an absolute precision when F is small. For example, if Fx is typically of order 1000 and the first six significant digits are known to be correct, an appropriate value for εr would be 10-6. In contrast, if Fx is typically of order 10-4 and the first six significant digits are known to be correct, an appropriate value for εr would be 10-10. The choice of εr can be quite complicated for badly scaled problems; see Chapter 8 of Gill et al. (1981) for a discussion of scaling techniques. The default value is appropriate for most simple functions that are computed with full accuracy. However, when the accuracy of the computed function values is known to be significantly worse than full precision, the value of εr should be large enough so that nag_glopt_nlp_multistart_sqp (e05ucc) will not attempt to distinguish between function values that differ by less than the error inherent in the calculation.
HessianaDefault =NO
This option controls the contents of the upper triangular matrix R (see Section 5). nag_glopt_nlp_multistart_sqp (e05ucc) works exclusively with the transformed and reordered Hessian HQ (6), and hence extra computation is required to form the Hessian itself. If Hessian=NO, r contains the Cholesky factor of the transformed and reordered Hessian. If Hessian=YES, the Cholesky factor of the approximate Hessian itself is formed and stored in r.
Infinite Bound SizerDefault =1020
If r>0, r defines the ‘infinite’ bound bigbnd in the definition of the problem constraints. Any upper bound greater than or equal to bigbnd will be regarded as + (and similarly any lower bound less than or equal to -bigbnd will be regarded as -). If r<0, the default value is used.
Infinite Step SizerDefault =maxbigbnd,1020
If r>0, r specifies the magnitude of the change in variables that is treated as a step to an unbounded solution. If the change in x during an iteration would exceed the value of r, the objective function is considered to be unbounded below in the feasible region. If r0, the default value is used.
Line Search TolerancerDefault =0.9
The value r (0r<1) controls the accuracy with which the step α taken during each iteration approximates a minimum of the merit function along the search direction (the smaller the value of r, the more accurate the linesearch). The default value r=0.9 requests an inaccurate search, and is appropriate for most problems, particularly those with any nonlinear constraints.
If there are no nonlinear constraints, a more accurate search may be appropriate when it is desirable to reduce the number of major iterations – for example, if the objective function is cheap to evaluate, or if a substantial number of derivatives are unspecified. If r<0 or r1, the default value is used.
Linear Feasibility Tolerancer1Default =ε
Nonlinear Feasibility Tolerancer2Default =ε0.33 or ε
The default value of r2 is ε0.33 if Derivative Level=0 or 1, and ε otherwise.
The scalars r1 and r2 define the maximum acceptable absolute violations in linear and nonlinear constraints at a ‘feasible’ point; i.e., a linear constraint is considered satisfied if its violation does not exceed r1, and similarly for a nonlinear constraint and r2. If rm<ε or rm1, the default value is used, for m=1,2.
On entry to the local optimizer an iterative procedure is executed in order to find a point that satisfies the linear constraints and bounds on the variables to within the tolerance r1. All subsequent iterates will satisfy the linear constraints to within the same tolerance (unless r1 is comparable to the finite difference interval).
For nonlinear constraints, the feasibility tolerance r2 defines the largest constraint violation that is acceptable at an optimal point. Since nonlinear constraints are generally not satisfied until the final iterate, the value of optional argument Nonlinear Feasibility Tolerance acts as a partial termination criterion for the iterative sequence generated by the local minimizer (see the discussion of optional argument Optimality Tolerance).
These tolerances should reflect the precision of the corresponding constraints. For example, if the variables and the coefficients in the linear constraints are of order unity, and the latter are correct to about 6 decimal digits, it would be appropriate to specify r1 as 10-6.
List
NolistDefault
For nag_glopt_nlp_multistart_sqp (e05ucc), normally each optional argument specification is not printed as it is supplied. Optional argument Nolist may be used to suppress the printing and optional argument List may be used to turn on printing.
Major Iteration LimitiDefault =max50,3n+nL+10nN
Iteration Limit
Iters
Itns
The value of i specifies the maximum number of major iterations allowed before termination of each local subproblem. Setting i=0 and Major Print Level>0 means that the workspace needed by each local minimization will be computed and printed, but no iterations will be performed. If i<0, the default value is used.
Major Print LeveliDefault =0
Print Leveli
The value of i controls the amount of printout produced by the major iterations of nag_glopt_nlp_multistart_sqp (e05ucc), as indicated below. A detailed description of the printed output is given in Section 8.1 (summary output at each major iteration and the final solution) and Section 12 (monitoring information at each major iteration). (See also the description of the optional argument Minor Print Level.)
The following printout is sent to stdout:
i Output
00 No output.
For the other values described below, the arguments used by the local minimizer are displayed in addition to intermediate and final output.
i Output
01 The final solution only.
05 One line of summary output (<80 characters; see Section 8.1) for each major iteration (no printout of the final solution).
10 The final solution and one line of summary output for each major iteration.
The following printout is sent to the file associated with the FileID defined by the optional argument Monitoring File:
i Output
<5 No output.
5 One long line of output (>80 characters; see Section 12) for each major iteration (no printout of the final solution).
20 At each major iteration, the objective function, the Euclidean norm of the nonlinear constraint violations, the values of the nonlinear constraints (the vector c), the values of the linear constraints (the vector ALx), and the current values of the variables (the vector x).
30 At each major iteration, the diagonal elements of the matrix T associated with the TQ factorization (5) (see Section 10.1) of the QP working set, and the diagonal elements of R, the triangular factor of the transformed and reordered Hessian (6) (see Section 10.1).
Minor Iteration LimitiDefault =max50,3n+nL+nN
The value of i specifies the maximum number of iterations for finding a feasible point with respect to the bounds and linear constraints (if any). The value of i also specifies the maximum number of minor iterations for the optimality phase of each QP subproblem. If i0, the default value is used.
Minor Print LeveliDefault =0
The value of i controls the amount of printout produced by the minor iterations of nag_glopt_nlp_multistart_sqp (e05ucc) (i.e., the iterations of the quadratic programming algorithm), as indicated below. A detailed description of the printed output is given in Section 8.1 (summary output at each minor iteration and the final QP solution) and Section 12 (monitoring information at each minor iteration). (See also the description of the optional argument Major Print Level.) The following printout is sent to stdout:
i Output
00 No output.
01 The final QP solution only.
05 One line of summary output (<80 characters; see Section 8.1) for each minor iteration (no printout of the final QP solution).
10 The final QP solution and one line of summary output for each minor iteration.
The following printout is sent to the file associated with the FileID defined by the optional argument Monitoring File:
i Output
<5 No output.
5 One long line of output (>80 characters; see Section 8.1) for each minor iteration (no printout of the final QP solution).
20 At each minor iteration, the current estimates of the QP multipliers, the current estimate of the QP search direction, the QP constraint values, and the status of each QP constraint.
30 At each minor iteration, the diagonal elements of the matrix T associated with the TQ factorization (5) (see Section 10.1) of the QP working set, and the diagonal elements of the Cholesky factor R of the transformed Hessian (6) (see Section 10.1).
Monitoring FileDefault =-1
(See Section 3.2.1.1 in the Essential Introduction for further information on NAG data types.)
i is of the type Nag_FileID and is obtained by a call to nag_open_file (x04acc).
If i0 and Major Print Level5 or i0 and Minor Print Level5, monitoring information produced by nag_glopt_nlp_multistart_sqp (e05ucc) at every iteration is sent to a file with ID i. If i<0 and/or Major Print Level<5 and Minor Print Level<5, no monitoring information is produced.
Optimality TolerancerDefault =εR0.8
The argument r (εRr<1) specifies the accuracy to which you wish the final iterate to approximate a solution of each local problem. Broadly speaking, r indicates the number of correct figures desired in the objective function at the solution. For example, if r is 10-6 and a local minimization terminates successfully, the final value of F should have approximately six correct figures. If r<εr or r1, the default value is used.
The local optimizer will terminate successfully if the iterative sequence of x values is judged to have converged and the final point satisfies the first-order Kuhn–Tucker conditions (see Section 10.1). The sequence of iterates is considered to have converged at x if
αpr1+x, (16)
where p is the search direction and α the step length from (3). An iterate is considered to satisfy the first-order conditions for a minimum if
ZT g FR r 1 + max 1 + F x , g FR (17)
and
resjftol  for all  j, (18)
where ZTgFR is the projected gradient (see Section 10.1), gFR is the gradient of Fx with respect to the free variables, resj is the violation of the jth active nonlinear constraint, and ftol is the Nonlinear Feasibility Tolerance.
Start Objective Check At Variablei1Default =1
Stop Objective Check At Variablei2Default =n
Start Constraint Check At Variablei3Default =1
Stop Constraint Check At Variablei4Default =n
These keywords take effect only if Verify Level>0. They may be used to control the verification of gradient elements computed by objfun and/or Jacobian elements computed by confun. For example, if the first 30 elements of the objective gradient appeared to be correct in an earlier run, so that only element 31 remains questionable, it is reasonable to specify Start Objective Check At Variable=31. If the first 30 variables appear linearly in the objective, so that the corresponding gradient elements are constant, the above choice would also be appropriate.
If i2m-10 or i2m-1>minn,i2m, the default value is used, for m=1,2. If i2m0 or i2m>n, the default value is used, for m=1,2.
Step LimitrDefault =2.0
If r>0,r specifies the maximum change in variables at the first step of the linesearch. In some cases, such as Fx=aebx or Fx=axb, even a moderate change in the elements of x can lead to floating point overflow. The argument r is therefore used to encourage evaluation of the problem functions at meaningful points. Given any major iterate x, the first point x~ at which F and c are evaluated during the linesearch is restricted so that
x~-x2r1+x2.
The linesearch may go on and evaluate F and c at points further from x if this will result in a lower value of the merit function (indicated by L at the end of each line of output produced by the major iterations; see Section 8.1). If L is printed for most of the iterations, r should be set to a larger value.
Wherever possible, upper and lower bounds on x should be used to prevent evaluation of nonlinear functions at wild values. The default value Step Limit=2.0 should not affect progress on well-behaved functions, but values such as 0.1 ​ or ​ 0.01 may be helpful when rapidly varying functions are present. If a small value of Step Limit is selected, a good starting point may be required. An important application is to the class of nonlinear least squares problems. If r0, the default value is used.
Verify LeveliDefault =0
Verifyi
Verify Constraint Gradientsi
Verify Gradientsi
Verify Objective Gradientsi
These keywords refer to finite difference checks on the gradient elements computed by objfun and confun. The possible choices for i are as follows:
i Meaning
-1 No checks are performed.
-0 Only a ‘cheap’ test will be performed.
1 Individual gradient elements will also be checked using a reliable (but more expensive) test.
It is possible to specify Verify Level=0 to 3 in several ways. For example, the nonlinear objective gradient (if any) will be verified if either Verify Objective Gradients or Verify Level=1 is specified. The constraint gradients will be verified if Verify=YES or Verify Level=2 or Verify is specified. Similarly, the objective and the constraint gradients will be verified if Verify=YES or Verify Level=3 or Verify is specified.
If 0i3, gradients will be verified at the first point that satisfies the linear constraints and bounds.
If i=0, only a ‘cheap’ test will be performed, requiring one call to objfun and (if appropriate) one call to confun.
If 1i3, a more reliable (but more expensive) check will be made on individual gradient elements, within the ranges specified by the Start Constraint Check At Variable and Stop Constraint Check At Variable keywords. A result of the form OK or BAD? is printed by nag_glopt_nlp_multistart_sqp (e05ucc) to indicate whether or not each element appears to be correct.
If 10i13, the action is the same as for i-10, except that it will take place at the user-specified initial value of x.
If i<-1 or 4i9 or i>13, the default value is used.
We suggest that Verify Level=3 be used whenever a new function function is being developed.

12  Description of Monitoring Information

This section describes the long line of output (>80 characters) which forms part of the monitoring information produced by nag_glopt_nlp_multistart_sqp (e05ucc). (See also the description of the optional arguments Major Print Level, Minor Print Level and Monitoring File.) You can control the level of printed output.
When Major Print Level5 and Monitoring File0, the following line of output is produced at every major iteration of nag_glopt_nlp_multistart_sqp (e05ucc) on the file specified by Monitoring File. In all cases, the values of the quantities printed are those in effect on completion of the given iteration.
Maj is the major iteration count.
Mnr is the number of minor iterations required by the feasibility and optimality phases of the QP subproblem. Generally, Mnr will be 1 in the later iterations, since theoretical analysis predicts that the correct active set will be identified near the solution (see Section 10).
Note that Mnr may be greater than the optional argument Minor Iteration Limit if some iterations are required for the feasibility phase.
Step is the step αk taken along the computed search direction. On reasonably well-behaved local problems, the unit step (i.e., αk=1) will be taken as the solution is approached.
Nfun is the cumulative number of evaluations of the objective function needed for the linesearch. Evaluations needed for the estimation of the gradients by finite differences are not included. Nfun is printed as a guide to the amount of work required for the linesearch.
Merit Function is the value of the augmented Lagrangian merit function (12) at the current iterate. This function will decrease at each iteration unless it was necessary to increase the penalty arguments (see Section 10.3). As the solution is approached, Merit Function will converge to the value of the objective function at the solution.
If the QP subproblem does not have a feasible point (signified by I at the end of the current output line) then the merit function is a large multiple of the constraint violations, weighted by the penalty arguments. During a sequence of major iterations with infeasible subproblems, the sequence of Merit Function values will decrease monotonically until either a feasible subproblem is obtained or the local optimizer terminates. Repeated failures will prevent a feasible point being found for the nonlinear constraints.
If there are no nonlinear constraints present (i.e., ncnln=0) then this entry contains Objective, the value of the objective function Fx. The objective function will decrease monotonically to its optimal value when there are no nonlinear constraints.
Norm Gz is ZTgFR, the Euclidean norm of the projected gradient (see Section 10.2). Norm Gz will be approximately zero in the neighbourhood of a solution.
Violtn is the Euclidean norm of the residuals of constraints that are violated or in the predicted active set (not printed if ncnln is zero). Violtn will be approximately zero in the neighbourhood of a solution.
Nz is the number of columns of Z (see Section 10.2). The value of Nz is the number of variables minus the number of constraints in the predicted active set; i.e., Nz=n-Bnd+Lin+Nln.
Bnd is the number of simple bound constraints in the predicted active set.
Lin is the number of general linear constraints in the predicted working set.
Nln is the number of nonlinear constraints in the predicted active set (not printed if ncnln is zero).
Penalty is the Euclidean norm of the vector of penalty arguments used in the augmented Lagrangian merit function (not printed if ncnln is zero).
Cond H is a lower bound on the condition number of the Hessian approximation H.
Cond Hz is a lower bound on the condition number of the projected Hessian approximation HZ  ( HZ = ZT HFR Z = RZT RZ ; see (6)). The larger this number, the more difficult the local problem.
Cond T is a lower bound on the condition number of the matrix of predicted active constraints.
Conv is a three-letter indication of the status of the three convergence tests (16)(18) defined in the description of the optional argument Optimality Tolerance. Each letter is T if the test is satisfied and F otherwise. The three tests indicate whether:
(i) the sequence of iterates has converged;
(ii) the projected gradient (Norm Gz) is sufficiently small; and
(iii) the norm of the residuals of constraints in the predicted active set (Violtn) is small enough.
If any of these indicators is F for a successful local minimization you should check the solution carefully.
M is printed if the quasi-Newton update has been modified to ensure that the Hessian approximation is positive definite (see Section 10.4).
I is printed if the QP subproblem has no feasible point.
C is printed if central differences have been used to compute the unspecified objective and constraint gradients. If the value of Step is zero then the switch to central differences was made because no lower point could be found in the linesearch. (In this case, the QP subproblem is resolved with the central difference gradient and Jacobian.) If the value of Step is nonzero then central differences were computed because Norm Gz and Violtn imply that x is close to a Kuhn–Tucker point (see Section 10.1).
L is printed if the linesearch has produced a relative change in x greater than the value defined by the optional argument Step Limit. If this output occurs frequently during later iterations of the run, optional argument Step Limit should be set to a larger value.
R is printed if the approximate Hessian has been refactorized. If the diagonal condition estimator of R indicates that the approximate Hessian is badly conditioned then the approximate Hessian is refactorized using column interchanges. If necessary, R is modified so that its diagonal condition estimator is bounded.

nag_glopt_nlp_multistart_sqp (e05ucc) (PDF version)
e05 Chapter Contents
e05 Chapter Introduction
NAG C Library Manual

© The Numerical Algorithms Group Ltd, Oxford, UK. 2012