minor edits with bobyqa+coordinatesearch

Author: yannikschaelte

bobyqa/bobyqaFunHandleWrap.m

@@ -0,0 +1,17 @@
+function [ y ] = bobyqaFunHandleWrap(x, calfun)
+% This is a wrapper to compute the objective function value. 
+% Called from within the mexbobyqa routine. 
+% funHandleWrap currently uses a global variable in bobyqa.m, 
+% the argument calfun is not used.
+%
+% Input:
+%   x: parameter vector
+%   calfun: objective function handle or string representation
+%
+% Output:
+%   y: objective function value
+
+fun = bobyqa();
+y = fun(x);
+
+end

bobyqa/funHandleWrap.m

@@ -138,7 +138,7 @@ SUBROUTINE CALFUN (N,X,F)
 
 		NLHS1 = 1
 
-		CALL MEXCALLMATLAB(NLHS1,PLHS1,NRHS1,PRHS1,'funHandleWrap')
+		CALL MEXCALLMATLAB(NLHS1,PLHS1,NRHS1,PRHS1,'bobyqaFunHandleWrap')
 
 		pF = MXGETPR(PLHS1(1))
 		CALL MXCOPYPTRTOREAL8(pF,F,1)

bobyqa/mexbobyqa.F

@@ -298,8 +298,8 @@
                         parameters = performOptimizationLsqnonlin(parameters, negLogPost, iMS, par0, J_0, options);
 
                     case 'cs'
-                        % Optimization using coordinate search as local optimizer
-                        parameters = performOptimizationCs(parameters, negLogPost, iMS, par0, J_0, options);
+                        % Optimization using randomized coordinate search as local optimizer
+                        parameters = performOptimizationCoordinateSearch(parameters, negLogPost, iMS, par0, J_0, options);
 
                     case 'dhc'
                         % Optimization using dynamic hill climbing as local optimizer

getMultiStarts.m

@@ -1,5 +1,5 @@
 function [ x, fval, exitflag, output ] = coordinateSearch( fun, x0, lb, ub, options )
-% performs a simple coordinate search with random update of search
+% Performs a simple coordinate search with random update of search
 % directions after a failure in improving the current value.
 %
 % Input:
@@ -93,7 +93,6 @@
             fcur = fun(ycur,jIter);
             funcCount = funcCount + 1;
             % simulate finite differences
-%            surroundingValues = zeros(2*dim,1);
             if (fcur < fbst)
                 ybst = ycur;
                 fbst = fcur;
@@ -106,8 +105,6 @@
                 break;
             end
 
-%            surroundingValues(jSpinner,1) = fcur;
-            
             % update coordinate index
             if jSpinner == 2*dim
                 jSpinner = 1;
@@ -116,25 +113,6 @@
             end
         end
 
-        % apparently bad effects
-%         if (~iterSuccessful)
-%             finiteDifferences = zeros(dim,1);
-%             for j=1:dim
-%                 finiteDifferences(j) = (surroundingValues(j)-surroundingValues(dim+j))/(2*delta);
-%             end
-%             U = step(:,1:dim);
-%             finiteDifferences = transpose(transpose(finiteDifferences)/U);
-%             ycur = ybst - delta*finiteDifferences/norm(finiteDifferences);
-%             fcur = fun(ycur);
-%             funcCount = funcCount + 1;
-%             if (fcur < fbst)
-%                 ybst = ycur;
-%                 fbst = fcur;
-%                 
-%                 %iterSuccessful = true;
-%             end
-%         end
-        
         if (~iterSuccessful)
             delta = contractFactor * delta;
         end

private/coordinateSearch.m

@@ -1,4 +1,4 @@
-function parameters = performOptimizationCs(parameters, negLogPost, iMS, par0, J_0, options)
+function parameters = performOptimizationCoordinateSearch(parameters, negLogPost, iMS, par0, J_0, options)
 
 
     % Definition of index set of optimized parameters