|The NLMIXED Procedure|
|trust region Method||TRUREG|
|Newton-Raphson method with line search||NEWRAP|
|Newton-Raphson method with ridging||NRRIDG|
|quasi-Newton methods (DBFGS, DDFP, BFGS, DFP)||QUANEW|
|double-dogleg method (DBFGS, DDFP)||DBLDOG|
|conjugate gradient methods (PB, FR, PR, CD)||CONGRA|
|Nelder-Mead simplex method||NMSIMP|
No algorithm for optimizing general nonlinear functions exists that always finds the global optimum for a general nonlinear minimization problem in a reasonable amount of time. Since no single optimization technique is invariably superior to others, PROC NLMIXED provides a variety of optimization techniques that work well in various circumstances. However, you can devise problems for which none of the techniques in PROC NLMIXED can find the correct solution. Moreover, nonlinear optimization can be computationally expensive in terms of time and memory, so you must be careful when matching an algorithm to a problem.
All optimization techniques in PROC NLMIXED use O(n2) memory except the conjugate gradient methods, which use only O(n) of memory and are designed to optimize problems with many parameters. Since the techniques are iterative, they require the repeated computation of
However, since each of the optimizers requires different derivatives, some computational efficiencies can be gained. The following table shows, for each optimization technique, which derivatives are required (FOD: first-order derivatives; SOD: second-order derivatives).
The factors that go into choosing a particular optimization technique for a particular problem are complex and may involve trial and error.
For many optimization problems, computing the gradient takes more computer time than computing the function value, and computing the Hessian sometimes takes much more computer time and memory than computing the gradient, especially when there are many decision variables. Unfortunately, optimization techniques that do not use some kind of Hessian approximation usually require many more iterations than techniques that do use a Hessian matrix, and as a result the total run time of these techniques is often longer. Techniques that do not use the Hessian also tend to be less reliable. For example, they can more easily terminate at stationary points rather than at global optima.
A few general remarks about the various optimization techniques are as follows.
Some details about the optimization techniques are as follows.
The trust region method iteratively optimizes a quadratic approximation to the nonlinear objective function within a hyperelliptic trust region with radius that constrains the step size corresponding to the quality of the quadratic approximation. The trust region method is implemented using Dennis, Gay, and Welsch (1981), Gay (1983), and Mor and Sorensen (1983).
The trust region method performs well for small- to medium-sized problems, and it does not need many function, gradient, and Hessian calls. However, if the computation of the Hessian matrix is computationally expensive, one of the (dual) quasi-Newton or conjugate gradient algorithms may be more efficient.
This algorithm uses a pure Newton step when the Hessian is positive definite and when the Newton step reduces the value of the objective function successfully. Otherwise, a combination of ridging and line search is performed to compute successful steps. If the Hessian is not positive definite, a multiple of the identity matrix is added to the Hessian matrix to make it positive definite (Eskow and Schnabel 1991).
In each iteration, a line search is performed along the search direction to find an approximate optimum of the objective function. The default line-search method uses quadratic interpolation and cubic extrapolation (LIS=2).
This algorithm uses a pure Newton step when the Hessian is positive definite and when the Newton step reduces the value of the objective function successfully. If at least one of these two conditions is not satisfied, a multiple of the identity matrix is added to the Hessian matrix.
The NRRIDG method performs well for small- to medium-sized problems, and it does not require many function, gradient, and Hessian calls. However, if the computation of the Hessian matrix is computationally expensive, one of the (dual) quasi-Newton or conjugate gradient algorithms may be more efficient.
Since the NRRIDG technique uses an orthogonal decomposition of the approximate Hessian, each iteration of NRRIDG can be slower than that of the NEWRAP technique, which works with Cholesky decomposition. Usually, however, NRRIDG requires fewer iterations than NEWRAP.
The QUANEW technique is one of the following, depending upon the value of the UPDATE= option.
You can specify four update formulas with the UPDATE= option:
In each iteration, a line search is performed along the search direction to find an approximate optimum. The default line-search method uses quadratic interpolation and cubic extrapolation to obtain a step size satisfying the Goldstein conditions. One of the Goldstein conditions can be violated if the feasible region defines an upper limit of the step size. Violating the left-side Goldstein condition can affect the positive definiteness of the quasi-Newton update. In that case, either the update is skipped or the iterations are restarted with an identity matrix, resulting in the steepest descent or ascent search direction. You can specify line-search algorithms other than the default with the LIS= option.
The QUANEW algorithm performs its own line-search technique. All options and parameters (except the INSTEP= option) controlling the line search in the other algorithms do not apply here. In several applications, large steps in the first iterations are troublesome. You can use the INSTEP= option to impose an upper bound for the step size during the first five iterations. You can also use the INHESSIAN[=r] option to specify a different starting approximation for the Hessian. If you specify only the INHESSIAN option, the Cholesky factor of a (possibly ridged) finite difference approximation of the Hessian is used to initialize the quasi-Newton update process. The values of the LCSINGULAR=, LCEPSILON=, and LCDEACT= options, which control the processing of linear and boundary constraints, are valid only for the quadratic programming subroutine used in each iteration of the QUANEW algorithm.
The double dogleg optimization technique works well for medium to moderately large optimization problems where the objective function and the gradient are much faster to compute than the Hessian. The implementation is based on Dennis and Mei (1979) and Gay (1983), but it is extended for dealing with boundary and linear constraints. The DBLDOG technique generally requires more iterations than the TRUREG, NEWRAP, or NRRIDG technique, which requires second-order derivatives; however, each of the DBLDOG iterations is computationally cheap. Furthermore, the DBLDOG technique requires only gradient calls for the update of the Cholesky factor of an approximate Hessian.
The CONGRA subroutine should be used for optimization problems with large n. For the unconstrained or boundary constrained case, CONGRA requires only O(n) bytes of working memory, whereas all other optimization methods require order O(n2) bytes of working memory. During n successive iterations, uninterrupted by restarts or changes in the working set, the conjugate gradient algorithm computes a cycle of n conjugate search directions. In each iteration, a line search is performed along the search direction to find an approximate optimum of the objective function. The default line-search method uses quadratic interpolation and cubic extrapolation to obtain a step size satisfying the Goldstein conditions. One of the Goldstein conditions can be violated if the feasible region defines an upper limit for the step size. Other line-search algorithms can be specified with the LIS= option.
The original Nelder-Mead simplex algorithm is implemented and extended to boundary constraints. This algorithm does not compute the objective for infeasible points, but it changes the shape of the simplex adapting to the nonlinearities of the objective function, which contributes to an increased speed of convergence. It uses a special termination criteria.
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