Performing global optimization

Global optimization is almost always a nonlinear problem and rarely is there a single best method for minimizing the cost function. You can choose from three optimization methods: Powell, Polak-Ribiere, and Fletcher Reeves. You can alternatively write a custom optimizer.

Regardless of the method you select, Embed produces a sequence of parameter updates on a per-run basis that decreases the value of the cost function. The basic parameter update equation is:

Pk+1 = Pk + rPk Ξ iteration index or Embed run number

The difference between each method is the way performing global opt equation 2 is generated. For more information on these methods, see numerical recipes.

To perform global optimization

1.    Choose System > Optimization Properties.

2.    In the Optimization Properties dialog box, activate the Perform Optimization option; choose the method you want and click OK; then start the simulation.

Error Tolerance: Indicates the maximum error between the results of two successive iterations. The default value is 10.

Method

Fletcher Reeves: Specifies a conjugate gradient algorithm that requires fewer iterations to convergence. This algorithm is slower than Powell’s method.

Polak Ribiere: Specifies a conjugate gradient algorithm that is a bit more sophisticated than Fletcher Reeves for arriving at the supposed minimum of the quadratic form.

Powell: Specifies a direction-set algorithm that typically runs faster because it does not explicitly calculate the gradient.

User Method: Uses a user-written global optimizer named VOPT32.DLL to solve the equation.

Max Iteration Count: Indicates the maximum number of iterations.

Perform Optimization: This option must be activated to perform global optimization.