Multidimensional Minimization¶
This chapter describes routines for finding minima of arbitrary multidimensional functions. The library provides low level components for a variety of iterative minimizers and convergence tests. These can be combined by the user to achieve the desired solution, while providing full access to the intermediate steps of the algorithms. Each class of methods uses the same framework, so that you can switch between minimizers at runtime without needing to recompile your program. Each instance of a minimizer keeps track of its own state, allowing the minimizers to be used in multithreaded programs. The minimization algorithms can be used to maximize a function by inverting its sign.
The header file gsl_multimin.h
contains prototypes for the
minimization functions and related declarations.
Overview¶
The problem of multidimensional minimization requires finding a point such that the scalar function,
takes a value which is lower than at any neighboring point. For smooth functions the gradient vanishes at the minimum. In general there are no bracketing methods available for the minimization of dimensional functions. The algorithms proceed from an initial guess using a search algorithm which attempts to move in a downhill direction.
Algorithms making use of the gradient of the function perform a onedimensional line minimisation along this direction until the lowest point is found to a suitable tolerance. The search direction is then updated with local information from the function and its derivatives, and the whole process repeated until the true dimensional minimum is found.
Algorithms which do not require the gradient of the function use different strategies. For example, the NelderMead Simplex algorithm maintains trial parameter vectors as the vertices of a dimensional simplex. On each iteration it tries to improve the worst vertex of the simplex by geometrical transformations. The iterations are continued until the overall size of the simplex has decreased sufficiently.
Both types of algorithms use a standard framework. The user provides a highlevel driver for the algorithms, and the library provides the individual functions necessary for each of the steps. There are three main phases of the iteration. The steps are,
initialize minimizer state,
s
, for algorithmT
update
s
using the iterationT
test
s
for convergence, and repeat iteration if necessary
Each iteration step consists either of an improvement to the
lineminimisation in the current direction or an update to the search
direction itself. The state for the minimizers is held in a
gsl_multimin_fdfminimizer
struct or a
gsl_multimin_fminimizer
struct.
Caveats¶
Note that the minimization algorithms can only search for one local minimum at a time. When there are several local minima in the search area, the first minimum to be found will be returned; however it is difficult to predict which of the minima this will be. In most cases, no error will be reported if you try to find a local minimum in an area where there is more than one.
It is also important to note that the minimization algorithms find local minima; there is no way to determine whether a minimum is a global minimum of the function in question.
Initializing the Multidimensional Minimizer¶
The following function initializes a multidimensional minimizer. The minimizer itself depends only on the dimension of the problem and the algorithm and can be reused for different problems.

type gsl_multimin_fdfminimizer¶
This is a workspace for minimizing functions using derivatives.

type gsl_multimin_fminimizer¶
This is a workspace for minimizing functions without derivatives.

gsl_multimin_fdfminimizer *gsl_multimin_fdfminimizer_alloc(const gsl_multimin_fdfminimizer_type *T, size_t n)¶

gsl_multimin_fminimizer *gsl_multimin_fminimizer_alloc(const gsl_multimin_fminimizer_type *T, size_t n)¶
This function returns a pointer to a newly allocated instance of a minimizer of type
T
for ann
dimension function. If there is insufficient memory to create the minimizer then the function returns a null pointer and the error handler is invoked with an error code ofGSL_ENOMEM
.

int gsl_multimin_fdfminimizer_set(gsl_multimin_fdfminimizer *s, gsl_multimin_function_fdf *fdf, const gsl_vector *x, double step_size, double tol)¶

int gsl_multimin_fminimizer_set(gsl_multimin_fminimizer *s, gsl_multimin_function *f, const gsl_vector *x, const gsl_vector *step_size)¶
The function
gsl_multimin_fdfminimizer_set()
initializes the minimizers
to minimize the functionfdf
starting from the initial pointx
. The size of the first trial step is given bystep_size
. The accuracy of the line minimization is specified bytol
. The precise meaning of this parameter depends on the method used. Typically the line minimization is considered successful if the gradient of the function is orthogonal to the current search direction to a relative accuracy oftol
, where . Atol
value of 0.1 is suitable for most purposes, since line minimization only needs to be carried out approximately. Note that settingtol
to zero will force the use of “exact” linesearches, which are extremely expensive.The function
gsl_multimin_fminimizer_set()
initializes the minimizers
to minimize the functionf
, starting from the initial pointx
. The size of the initial trial steps is given in vectorstep_size
. The precise meaning of this parameter depends on the method used.

void gsl_multimin_fdfminimizer_free(gsl_multimin_fdfminimizer *s)¶

void gsl_multimin_fminimizer_free(gsl_multimin_fminimizer *s)¶
This function frees all the memory associated with the minimizer
s
.

const char *gsl_multimin_fdfminimizer_name(const gsl_multimin_fdfminimizer *s)¶

const char *gsl_multimin_fminimizer_name(const gsl_multimin_fminimizer *s)¶
This function returns a pointer to the name of the minimizer. For example:
printf ("s is a '%s' minimizer\n", gsl_multimin_fdfminimizer_name (s));
would print something like
s is a 'conjugate_pr' minimizer
.
Providing a function to minimize¶
You must provide a parametric function of variables for the minimizers to operate on. You may also need to provide a routine which calculates the gradient of the function and a third routine which calculates both the function value and the gradient together. In order to allow for general parameters the functions are defined by the following data types:

type gsl_multimin_function_fdf¶
This data type defines a general function of variables with parameters and the corresponding gradient vector of derivatives,
double (* f) (const gsl_vector * x, void * params)
this function should return the result for argument
x
and parametersparams
. If the function cannot be computed, an error value ofGSL_NAN
should be returned.void (* df) (const gsl_vector * x, void * params, gsl_vector * g)
this function should store the
n
dimensional gradientin the vector
g
for argumentx
and parametersparams
, returning an appropriate error code if the function cannot be computed.void (* fdf) (const gsl_vector * x, void * params, double * f, gsl_vector * g)
This function should set the values of the
f
andg
as above, for argumentsx
and parametersparams
. This function provides an optimization of the separate functions for and —it is always faster to compute the function and its derivative at the same time.size_t n
the dimension of the system, i.e. the number of components of the vectors
x
.void * params
a pointer to the parameters of the function.

type gsl_multimin_function¶
This data type defines a general function of variables with parameters,
double (* f) (const gsl_vector * x, void * params)
this function should return the result for argument
x
and parametersparams
. If the function cannot be computed, an error value ofGSL_NAN
should be returned.size_t n
the dimension of the system, i.e. the number of components of the vectors
x
.void * params
a pointer to the parameters of the function.
The following example function defines a simple twodimensional paraboloid with five parameters,
/* Paraboloid centered on (p[0],p[1]), with
scale factors (p[2],p[3]) and minimum p[4] */
double
my_f (const gsl_vector *v, void *params)
{
double x, y;
double *p = (double *)params;
x = gsl_vector_get(v, 0);
y = gsl_vector_get(v, 1);
return p[2] * (x  p[0]) * (x  p[0]) +
p[3] * (y  p[1]) * (y  p[1]) + p[4];
}
/* The gradient of f, df = (df/dx, df/dy). */
void
my_df (const gsl_vector *v, void *params,
gsl_vector *df)
{
double x, y;
double *p = (double *)params;
x = gsl_vector_get(v, 0);
y = gsl_vector_get(v, 1);
gsl_vector_set(df, 0, 2.0 * p[2] * (x  p[0]));
gsl_vector_set(df, 1, 2.0 * p[3] * (y  p[1]));
}
/* Compute both f and df together. */
void
my_fdf (const gsl_vector *x, void *params,
double *f, gsl_vector *df)
{
*f = my_f(x, params);
my_df(x, params, df);
}
The function can be initialized using the following code:
gsl_multimin_function_fdf my_func;
/* Paraboloid center at (1,2), scale factors (10, 20),
minimum value 30 */
double p[5] = { 1.0, 2.0, 10.0, 20.0, 30.0 };
my_func.n = 2; /* number of function components */
my_func.f = &my_f;
my_func.df = &my_df;
my_func.fdf = &my_fdf;
my_func.params = (void *)p;
Iteration¶
The following function drives the iteration of each algorithm. The function performs one iteration to update the state of the minimizer. The same function works for all minimizers so that different methods can be substituted at runtime without modifications to the code.

int gsl_multimin_fdfminimizer_iterate(gsl_multimin_fdfminimizer *s)¶

int gsl_multimin_fminimizer_iterate(gsl_multimin_fminimizer *s)¶
These functions perform a single iteration of the minimizer
s
. If the iteration encounters an unexpected problem then an error code will be returned. The error codeGSL_ENOPROG
signifies that the minimizer is unable to improve on its current estimate, either due to numerical difficulty or because a genuine local minimum has been reached.
The minimizer maintains a current best estimate of the minimum at all times. This information can be accessed with the following auxiliary functions,

gsl_vector *gsl_multimin_fdfminimizer_x(const gsl_multimin_fdfminimizer *s)¶

gsl_vector *gsl_multimin_fminimizer_x(const gsl_multimin_fminimizer *s)¶

double gsl_multimin_fdfminimizer_minimum(const gsl_multimin_fdfminimizer *s)¶

double gsl_multimin_fminimizer_minimum(const gsl_multimin_fminimizer *s)¶

gsl_vector *gsl_multimin_fdfminimizer_gradient(const gsl_multimin_fdfminimizer *s)¶

gsl_vector *gsl_multimin_fdfminimizer_dx(const gsl_multimin_fdfminimizer *s)¶

double gsl_multimin_fminimizer_size(const gsl_multimin_fminimizer *s)¶
These functions return the current best estimate of the location of the minimum, the value of the function at that point, its gradient, the last step increment of the estimate, and minimizer specific characteristic size for the minimizer
s
.

int gsl_multimin_fdfminimizer_restart(gsl_multimin_fdfminimizer *s)¶
This function resets the minimizer
s
to use the current point as a new starting point.
Stopping Criteria¶
A minimization procedure should stop when one of the following conditions is true:
A minimum has been found to within the userspecified precision.
A userspecified maximum number of iterations has been reached.
An error has occurred.
The handling of these conditions is under user control. The functions below allow the user to test the precision of the current result.

int gsl_multimin_test_gradient(const gsl_vector *g, double epsabs)¶
This function tests the norm of the gradient
g
against the absolute toleranceepsabs
. The gradient of a multidimensional function goes to zero at a minimum. The test returnsGSL_SUCCESS
if the following condition is achieved,and returns
GSL_CONTINUE
otherwise. A suitable choice ofepsabs
can be made from the desired accuracy in the function for small variations in . The relationship between these quantities is given by .

int gsl_multimin_test_size(const double size, double epsabs)¶
This function tests the minimizer specific characteristic size (if applicable to the used minimizer) against absolute tolerance
epsabs
. The test returnsGSL_SUCCESS
if the size is smaller than tolerance, otherwiseGSL_CONTINUE
is returned.
Algorithms with Derivatives¶
There are several minimization methods available. The best choice of algorithm depends on the problem. The algorithms described in this section use the value of the function and its gradient at each evaluation point.

type gsl_multimin_fdfminimizer_type¶
This type specifies a minimization algorithm using gradients.

gsl_multimin_fdfminimizer_type *gsl_multimin_fdfminimizer_conjugate_fr¶
This is the FletcherReeves conjugate gradient algorithm. The conjugate gradient algorithm proceeds as a succession of line minimizations. The sequence of search directions is used to build up an approximation to the curvature of the function in the neighborhood of the minimum.
An initial search direction
p
is chosen using the gradient, and line minimization is carried out in that direction. The accuracy of the line minimization is specified by the parametertol
. The minimum along this line occurs when the function gradientg
and the search directionp
are orthogonal. The line minimization terminates when . The search direction is updated using the FletcherReeves formula where , and the line minimization is then repeated for the new search direction.

gsl_multimin_fdfminimizer_type *gsl_multimin_fdfminimizer_conjugate_pr¶
This is the PolakRibiere conjugate gradient algorithm. It is similar to the FletcherReeves method, differing only in the choice of the coefficient . Both methods work well when the evaluation point is close enough to the minimum of the objective function that it is well approximated by a quadratic hypersurface.

gsl_multimin_fdfminimizer_type *gsl_multimin_fdfminimizer_vector_bfgs2¶

gsl_multimin_fdfminimizer_type *gsl_multimin_fdfminimizer_vector_bfgs¶
These methods use the vector BroydenFletcherGoldfarbShanno (BFGS) algorithm. This is a quasiNewton method which builds up an approximation to the second derivatives of the function using the difference between successive gradient vectors. By combining the first and second derivatives the algorithm is able to take Newtontype steps towards the function minimum, assuming quadratic behavior in that region.
The
bfgs2
version of this minimizer is the most efficient version available, and is a faithful implementation of the line minimization scheme described in Fletcher’s Practical Methods of Optimization, Algorithms 2.6.2 and 2.6.4. It supersedes the originalbfgs
routine and requires substantially fewer function and gradient evaluations. The usersupplied tolerancetol
corresponds to the parameter used by Fletcher. A value of 0.1 is recommended for typical use (larger values correspond to less accurate line searches).

gsl_multimin_fdfminimizer_type *gsl_multimin_fdfminimizer_steepest_descent¶
The steepest descent algorithm follows the downhill gradient of the function at each step. When a downhill step is successful the stepsize is increased by a factor of two. If the downhill step leads to a higher function value then the algorithm backtracks and the step size is decreased using the parameter
tol
. A suitable value oftol
for most applications is 0.1. The steepest descent method is inefficient and is included only for demonstration purposes.

gsl_multimin_fdfminimizer_type *gsl_multimin_fdfminimizer_conjugate_fr¶
Algorithms without Derivatives¶
The algorithms described in this section use only the value of the function at each evaluation point.

type gsl_multimin_fminimizer_type¶
This type specifies minimization algorithms which do not use gradients.

gsl_multimin_fminimizer_type *gsl_multimin_fminimizer_nmsimplex2¶

gsl_multimin_fminimizer_type *gsl_multimin_fminimizer_nmsimplex¶
These methods use the Simplex algorithm of Nelder and Mead. Starting from the initial vector , the algorithm constructs an additional vectors using the step size vector as follows:
These vectors form the vertices of a simplex in dimensions. On each iteration the algorithm uses simple geometrical transformations to update the vector corresponding to the highest function value. The geometric transformations are reflection, reflection followed by expansion, contraction and multiple contraction. Using these transformations the simplex moves through the space towards the minimum, where it contracts itself.
After each iteration, the best vertex is returned. Note, that due to the nature of the algorithm not every step improves the current best parameter vector. Usually several iterations are required.
The minimizerspecific characteristic size is calculated as the average distance from the geometrical center of the simplex to all its vertices. This size can be used as a stopping criteria, as the simplex contracts itself near the minimum. The size is returned by the function
gsl_multimin_fminimizer_size()
.The
gsl_multimin_fminimizer_nmsimplex2
version of this minimiser is a new operations implementation of the earlier operationsgsl_multimin_fminimizer_nmsimplex
minimiser. It uses the same underlying algorithm, but the simplex updates are computed more efficiently for highdimensional problems. In addition, the size of simplex is calculated as the RMS distance of each vertex from the center rather than the mean distance, allowing a linear update of this quantity on each step. The memory usage is for both algorithms.

gsl_multimin_fminimizer_type *gsl_multimin_fminimizer_nmsimplex2rand¶
This method is a variant of
gsl_multimin_fminimizer_nmsimplex2
which initialises the simplex around the starting pointx
using a randomlyoriented set of basis vectors instead of the fixed coordinate axes. The final dimensions of the simplex are scaled along the coordinate axes by the vectorstep_size
. The randomisation uses a simple deterministic generator so that repeated calls togsl_multimin_fminimizer_set()
for a given solver object will vary the orientation in a welldefined way.

gsl_multimin_fminimizer_type *gsl_multimin_fminimizer_nmsimplex2¶
Examples¶
This example program finds the minimum of the paraboloid function defined earlier. The location of the minimum is offset from the origin in and , and the function value at the minimum is nonzero. The main program is given below, it requires the example function given earlier in this chapter.
int
main (void)
{
size_t iter = 0;
int status;
const gsl_multimin_fdfminimizer_type *T;
gsl_multimin_fdfminimizer *s;
/* Position of the minimum (1,2), scale factors
10,20, height 30. */
double par[5] = { 1.0, 2.0, 10.0, 20.0, 30.0 };
gsl_vector *x;
gsl_multimin_function_fdf my_func;
my_func.n = 2;
my_func.f = my_f;
my_func.df = my_df;
my_func.fdf = my_fdf;
my_func.params = par;
/* Starting point, x = (5,7) */
x = gsl_vector_alloc (2);
gsl_vector_set (x, 0, 5.0);
gsl_vector_set (x, 1, 7.0);
T = gsl_multimin_fdfminimizer_conjugate_fr;
s = gsl_multimin_fdfminimizer_alloc (T, 2);
gsl_multimin_fdfminimizer_set (s, &my_func, x, 0.01, 1e4);
do
{
iter++;
status = gsl_multimin_fdfminimizer_iterate (s);
if (status)
break;
status = gsl_multimin_test_gradient (s>gradient, 1e3);
if (status == GSL_SUCCESS)
printf ("Minimum found at:\n");
printf ("%5d %.5f %.5f %10.5f\n", iter,
gsl_vector_get (s>x, 0),
gsl_vector_get (s>x, 1),
s>f);
}
while (status == GSL_CONTINUE && iter < 100);
gsl_multimin_fdfminimizer_free (s);
gsl_vector_free (x);
return 0;
}
The initial stepsize is chosen as 0.01, a conservative estimate in this case, and the line minimization parameter is set at 0.0001. The program terminates when the norm of the gradient has been reduced below 0.001. The output of the program is shown below,
x y f
1 4.99629 6.99072 687.84780
2 4.98886 6.97215 683.55456
3 4.97400 6.93501 675.01278
4 4.94429 6.86073 658.10798
5 4.88487 6.71217 625.01340
6 4.76602 6.41506 561.68440
7 4.52833 5.82083 446.46694
8 4.05295 4.63238 261.79422
9 3.10219 2.25548 75.49762
10 2.85185 1.62963 67.03704
11 2.19088 1.76182 45.31640
12 0.86892 2.02622 30.18555
Minimum found at:
13 1.00000 2.00000 30.00000
Note that the algorithm gradually increases the step size as it successfully moves downhill, as can be seen by plotting the successive points in Fig. 29.
The conjugate gradient algorithm finds the minimum on its second direction because the function is purely quadratic. Additional iterations would be needed for a more complicated function.
Here is another example using the NelderMead Simplex algorithm to minimize the same example object function, as above.
int
main(void)
{
double par[5] = {1.0, 2.0, 10.0, 20.0, 30.0};
const gsl_multimin_fminimizer_type *T =
gsl_multimin_fminimizer_nmsimplex2;
gsl_multimin_fminimizer *s = NULL;
gsl_vector *ss, *x;
gsl_multimin_function minex_func;
size_t iter = 0;
int status;
double size;
/* Starting point */
x = gsl_vector_alloc (2);
gsl_vector_set (x, 0, 5.0);
gsl_vector_set (x, 1, 7.0);
/* Set initial step sizes to 1 */
ss = gsl_vector_alloc (2);
gsl_vector_set_all (ss, 1.0);
/* Initialize method and iterate */
minex_func.n = 2;
minex_func.f = my_f;
minex_func.params = par;
s = gsl_multimin_fminimizer_alloc (T, 2);
gsl_multimin_fminimizer_set (s, &minex_func, x, ss);
do
{
iter++;
status = gsl_multimin_fminimizer_iterate(s);
if (status)
break;
size = gsl_multimin_fminimizer_size (s);
status = gsl_multimin_test_size (size, 1e2);
if (status == GSL_SUCCESS)
{
printf ("converged to minimum at\n");
}
printf ("%5d %10.3e %10.3e f() = %7.3f size = %.3f\n",
iter,
gsl_vector_get (s>x, 0),
gsl_vector_get (s>x, 1),
s>fval, size);
}
while (status == GSL_CONTINUE && iter < 100);
gsl_vector_free(x);
gsl_vector_free(ss);
gsl_multimin_fminimizer_free (s);
return status;
}
The minimum search stops when the Simplex size drops to 0.01. The output is shown below.
1 6.500e+00 5.000e+00 f() = 512.500 size = 1.130
2 5.250e+00 4.000e+00 f() = 290.625 size = 1.409
3 5.250e+00 4.000e+00 f() = 290.625 size = 1.409
4 5.500e+00 1.000e+00 f() = 252.500 size = 1.409
5 2.625e+00 3.500e+00 f() = 101.406 size = 1.847
6 2.625e+00 3.500e+00 f() = 101.406 size = 1.847
7 0.000e+00 3.000e+00 f() = 60.000 size = 1.847
8 2.094e+00 1.875e+00 f() = 42.275 size = 1.321
9 2.578e01 1.906e+00 f() = 35.684 size = 1.069
10 5.879e01 2.445e+00 f() = 35.664 size = 0.841
11 1.258e+00 2.025e+00 f() = 30.680 size = 0.476
12 1.258e+00 2.025e+00 f() = 30.680 size = 0.367
13 1.093e+00 1.849e+00 f() = 30.539 size = 0.300
14 8.830e01 2.004e+00 f() = 30.137 size = 0.172
15 8.830e01 2.004e+00 f() = 30.137 size = 0.126
16 9.582e01 2.060e+00 f() = 30.090 size = 0.106
17 1.022e+00 2.004e+00 f() = 30.005 size = 0.063
18 1.022e+00 2.004e+00 f() = 30.005 size = 0.043
19 1.022e+00 2.004e+00 f() = 30.005 size = 0.043
20 1.022e+00 2.004e+00 f() = 30.005 size = 0.027
21 1.022e+00 2.004e+00 f() = 30.005 size = 0.022
22 9.920e01 1.997e+00 f() = 30.001 size = 0.016
23 9.920e01 1.997e+00 f() = 30.001 size = 0.013
converged to minimum at
24 9.920e01 1.997e+00 f() = 30.001 size = 0.008
The simplex size first increases, while the simplex moves towards the minimum. After a while the size begins to decrease as the simplex contracts around the minimum.
References and Further Reading¶
The conjugate gradient and BFGS methods are described in detail in the following book,
R. Fletcher, Practical Methods of Optimization (Second Edition) Wiley (1987), ISBN 0471915475.
A brief description of multidimensional minimization algorithms and more recent references can be found in,
C.W. Ueberhuber, Numerical Computation (Volume 2), Chapter 14, Section 4.4 “Minimization Methods”, p.: 325–335, Springer (1997), ISBN 3540620575.
The simplex algorithm is described in the following paper,
J.A. Nelder and R. Mead, A simplex method for function minimization, Computer Journal vol.: 7 (1965), 308–313.