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| | [[Category: Analytica Optimizer Guide]] | | [[Category: Analytica Optimizer Guide]] |
| − | <breadcrumbs> Analytica Optimizer Guide > {{PAGENAME}}</breadcrumbs> | + | <breadcrumbs> Analytica Optimizer Guide > {{PAGENAME}}</breadcrumbs> <br /> |
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| − | This chapter shows you how to: | + | This chapter shows you how to specify Optimizer engine settings in [[DefineOptimization]](), determine the available settings, defaults and possible range for each optimization engine, determine size capacities for installed engines, control termination criteria during optimization, select search algorithms, and specify numeric precision. |
| − | * Specify Optimizer engine settings in DefineOptimization()
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| − | * Determine what setting are available for each engine, defaults, and possible range
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| − | * Determine size capacities for installed engines
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| − | * Control termination criteria during optimization
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| − | * Select search algorithms
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| − | * Specify numeric precision
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| − | == Controlling the search == | + | == Sections == |
| | + | * [[Controlling the Search]] |
| | + | * [[Selecting the Optimization Engine]] |
| | + | * [[Examining Engine Capabilities]] |
| | + | * [[Specifying Settings]] |
| | + | * [[Examining Available Settings]] |
| | + | * [[Termination Controls]] |
| | + | * [[Algorithm Selection]] |
| | + | * [[Numeric Tolerance and Precision]] |
| | + | * [[Unused Settings]] |
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| − | The optimization engine exposes several settings that you can change to influence how the search for the optimum proceeds and when it terminates. The specific collection of available settings is a function of which engine is used to solve the optimization, so that if you install and use an add-on engine, other than the engine that comes standard with Analytica Optimizer, the possible settings might be different. The OptInfo() function can be used to view current values for a problem.
| + | ==See Also== |
| | + | * [[DefineOptimization#Engine_Settings|Optimization engine settings]] |
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| − | To see this, define a variable as:
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| − | <nowiki> OptInfo(Opt, "Settings")</nowiki>
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| − | Where Opt identifies the variable containing the [http://wiki.analytica.com/index.php?title=DefineOptimization DefineOptimization]() function.
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| − | Settings can be changed for a particular problem by specifying values for the '''SettingName''' and '''SettingValue''' parameters to [http://wiki.analytica.com/index.php?title=DefineOptimization DefineOptimization](). The first subsection below describes how you specify and view settings, while the subsequent sub-sections detail particular settings used by engines the come standard with Analytica Optimizer.
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| − | == Selecting the optimization engine ==
| + | <footer>Optimizer Functions / {{PAGENAME}} / Controlling the Search</footer> |
| − | Four optimization engines come standard with Analytica Optimizer:
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| − | * '''LP/Quadratic''' - uses a dual simplex method combined with branch-and bound for mixed-integer constraints, with a variety of integer cut-set procedures. This is generally the engine of choice for LPs and mixed-integer LPs. For hard mixed-integer LPs, however, the Evolutionary engine uses a very different approach and might be worth trying.
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| − | | |
| − | * '''SOCP Barrier''' - uses interior point methods designed specifically for quadratically constrained convex problems. The GRG Nonlinear engine is often a good alternative for thi type of problem, especially if the constraints end up being non-convex.
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| − | * '''GRG Nonlinea'''r - The Generalized Reduced Gradient solver is suitable for smooth non-linear problems. If gradients and Jacobians can be analytically determined, the speed of this method will be dramatically faster.
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| − | * '''Evolutionary''' - Best suited for non-smooth problems the evolutionary engine creates a population of potential solutions and keeps the best ones.. By default, the Evolutionary engine does not use gradient information. However, if the '''LocalSearch''' setting is on, then it optimizes sample points before adding them to the population using various techniques including gradient-based search.
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| − | The following matrix shows engine compatibility for each problem type:
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| − | {| class="wikitable" cellpadding="2"
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| − | |-
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| − | ! width="100pt" |
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| − | ! width="350pt" |
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| − | ! width="150pt" | LP/Quadratic
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| − | ! width="150pt" | SOCP Barrier
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| − | ! width="150pt" | GRG Nonlinear
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| − | ! width="150pt" | Evolutionary
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| − | |-
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| − | |LP
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| − | |Linear Program
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| − | |*
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| − | |*
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| − | |*
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| − | |*
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| − | |-
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| − | |QP
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| − | |Quadratic Program (linearly constrained)
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| − | |*
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| − | |*
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| − | |*
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| − | |*
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| − | |-
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| − | |QCP
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| − | |Quadratically Constrained Program
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| − | |
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| − | |*<ref>You may not know whether your QCP is convex when you formulate it, and DefineOptimization’s quadratic analysis does not determine convexity. Testing for convexity can be more computationally intensive than solving the problem, so if you think SOCP Barrier is the preferred engine, you can attempt to solve it using SOCP Barrier. During the solution, it may succeed, or it may detect the non-convexity and terminate without a feasible solution. Always check OptStatusText().</ref>
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| − | |*
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| − | |*
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| − | |-
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| − | |CQCP
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| − | |Convex QCP
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| − | |
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| − | |*
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| − | |*
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| − | |*
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| − | |-
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| − | |NCQCP
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| − | |Non-Convex QCP
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| − | |
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| − | |
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| − | |*
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| − | |*
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| − | |-
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| − | |NLP
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| − | |Non-Linear Program (smooth)
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| − | |
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| − | |
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| − | |*
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| − | |*
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| − | |-
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| − | |NSP
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| − | |Non-Smooth Program
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| − | |
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| − | |
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| − | |*
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| − | |*
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| − | |}
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| − | | |
| − | If you have purchased other add-on engines, other options might also be available to you. You can obtain a full list of installed engines and the problem types supported by each by evaluating the following Analytica expression.
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| − | <nowiki> OptEngineInfo("All","ProblemTypes")</nowiki>
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| − | To explicitly select the engine to be used, include the Engine parameter to [http://wiki.analytica.com/index.php?title=DefineOptimization DefineOptimization]().
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| − | <nowiki> Engine : Optional Text</nowiki>
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| − | For example:
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| − | <nowiki> DefineOptimization( ..., Engine: "Evolutionary" )</nowiki>
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| − | If you do not specify the engine, Analytica selects an appropriate engine based on the properties of the problem that you specified. However, if the engine does not perform satisfactorily on that problem, you might obtain better results with a different engine.
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| − | To determine what engine is actually used on a problem, evaluate this Analytica expression.
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| − | <nowiki> OptInfo(Opt, "Engine")</nowiki>
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| − | Here <code>Opt</code> is the object returned by [http://wiki.analytica.com/index.php?title=DefineOptimization DefineOptimization]().
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| − | <footer>Optimizer Function Reference / {{PAGENAME}} / Next</footer> | |
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