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134 lines
4.4 KiB
134 lines
4.4 KiB
1 year ago
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%-------------------------------------------------------
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% MMA求解程序 MMA.m
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% 本代码将原本的非线性问题线性近似,非凸问题凸近似,得到一系列
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% 线性的、凸的子问题,再通过subsolv.m迭代求解这些线性的、凸的子问题最终找到最优值点
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function [xmma,ymma,zmma,lam,xsi,eta,mu,zet,s,low,upp] = ...
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mmasub(m,n,iter,xval,xmin,xmax,xold1,xold2, ...
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f0val,df0dx,fval,dfdx,low,upp,a0,a,c,d)
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% This function mmasub performs one MMA-iteration, aimed at
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% solving the nonlinear programming problem:
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% 该函数进行MMA迭代,已解决符合以下形式的非线性(非凸)优化问题
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% Minimize f_0(x) + a_0*z + sum( c_i*y_i + 0.5*d_i*(y_i)^2 )
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% subject to f_i(x) - a_i*z - y_i <= 0, i = 1,...,m
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% xmin_j <= x_j <= xmax_j, j = 1,...,n
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% z >= 0, y_i >= 0, i = 1,...,m
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% 输入参数有:
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% m = 约束条件的数量
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% n = 变量的个数
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% iter = 迭代步数
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% xval = 包含所有xj的向量
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% xmin = 包含所有xj取值下限的向量
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% xmax = 包含所有xj取值上限的向量
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% xold1 = 上次迭代产生的x_val
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% xold2 = 上上次迭代产生的的xval
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% f0val = 目标函数的现有值
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% df0dx = 包含目标函数对所有xj偏导数的列向量
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% fval = 时约束函数fi值的列向量
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% dfdx = x_j.fi对xj偏导数的矩阵
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% low = 前一次迭代的渐近线下界
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% upp = 前一次迭代的渐进线上界
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% 引入下面四个量防止在初始值选择不恰当的形况下出现子问题不适定(没有结)的情况
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% a0 = a_0*z中的常系数a_0
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% a = 用来存储a_i*z中系数 a_i的列向量
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% c = 用来存储c_i*y_i中系数c_i的列向量
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% d =用来存储0.5*d_i*(y_i)^2中系数d_i的列向量,d_i应该是一个足够大的数,
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% 可以证明当d_i足够大时y_i趋近于0
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%输出的量:
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% xmma = 子问题求解出的xj的列向量
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% ymma = 子问题求解出的yi的列向量
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% zmma = z的标量
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% lam = m个约束对应的拉格朗日乘子
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% xsi = n个α<x_j对应的拉格朗日乘子
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% eta = n个x_j<β对应的拉格朗日乘子
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% mu = m个y_i<0对应的拉格朗日乘子。
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% zet = z>0对应的拉格朗日乘子
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% s = m个约束条件对应的松弛因子
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% low = 本次求解的子问题对应的渐近线的下界
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% upp = 本次求解的子问题对应的渐近线上界
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%
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%epsimin = sqrt(m+n)*10^(-9);计算机精度的最小值
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epsimin = 10^(-7);
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raa0 = 0.00001;
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move = 1.0;
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albefa = 0.1;
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asyinit = 0.5;
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asyincr = 1.2;
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asydecr = 0.7;
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eeen = ones(n,1);
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eeem = ones(m,1);
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zeron = zeros(n,1);
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% Calculation of the asymptotes low and upp :计算渐近线的上下界
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if iter < 2.5
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low = xval - asyinit*(xmax-xmin);
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upp = xval + asyinit*(xmax-xmin);
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else
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zzz = (xval-xold1).*(xold1-xold2);
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factor = eeen;
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factor(find(zzz > 0)) = asyincr;
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factor(find(zzz < 0)) = asydecr;
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low = xval - factor.*(xold1 - low);
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upp = xval + factor.*(upp - xold1);
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lowmin = xval - 10*(xmax-xmin);
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lowmax = xval - 0.01*(xmax-xmin);
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uppmin = xval + 0.01*(xmax-xmin);
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uppmax = xval + 10*(xmax-xmin);
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low = max(low,lowmin);
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low = min(low,lowmax);
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upp = min(upp,uppmax);
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upp = max(upp,uppmin);
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end
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% 计算设计变量的精确界限α和β
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zzz1 = low + albefa*(xval-low);
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zzz2 = xval - move*(xmax-xmin);
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zzz = max(zzz1,zzz2);
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alfa = max(zzz,xmin);
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zzz1 = upp - albefa*(upp-xval);
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zzz2 = xval + move*(xmax-xmin);
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zzz = min(zzz1,zzz2);
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beta = min(zzz,xmax);
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% 计算 p0, q0, P, Q 和 b.
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xmami = xmax-xmin;
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xmamieps = 0.00001*eeen;
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xmami = max(xmami,xmamieps);
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xmamiinv = eeen./xmami;
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ux1 = upp-xval;
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ux2 = ux1.*ux1;
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xl1 = xval-low;
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xl2 = xl1.*xl1;
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uxinv = eeen./ux1;
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xlinv = eeen./xl1;
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%
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p0 = zeron;
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q0 = zeron;
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p0 = max(df0dx,0);
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q0 = max(-df0dx,0);
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%p0(find(df0dx > 0)) = df0dx(find(df0dx > 0));
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%q0(find(df0dx < 0)) = -df0dx(find(df0dx < 0));
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pq0 = 0.001*(p0 + q0) + raa0*xmamiinv;
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p0 = p0 + pq0;
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q0 = q0 + pq0;
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p0 = p0.*ux2;
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q0 = q0.*xl2;
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%
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P = sparse(m,n);
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Q = sparse(m,n);
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P = max(dfdx,0);
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Q = max(-dfdx,0);
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%P(find(dfdx > 0)) = dfdx(find(dfdx > 0));
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%Q(find(dfdx < 0)) = -dfdx(find(dfdx < 0));
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PQ = 0.001*(P + Q) + raa0*eeem*xmamiinv';
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P = P + PQ;
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Q = Q + PQ;
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P = P * spdiags(ux2,0,n,n);
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Q = Q * spdiags(xl2,0,n,n);
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b = P*uxinv + Q*xlinv - fval ;
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%
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%%% 使用反演原对偶牛顿方法求解子问题
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[xmma,ymma,zmma,lam,xsi,eta,mu,zet,s] = ...
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subsolv(m,n,epsimin,low,upp,alfa,beta,p0,q0,P,Q,a0,a,b,c,d);
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