GlobalSearch (global optimization) evaluates initial point only

Thanks in advance for any help.

When I call MATLAB's GlobalSearch, it performs one run of fmincon (and finds a decent solution) but then it doesn't search for any better solutions, i.e. it doesn't use any of the additional trial points generated using the scatter search algorithm, defeating the purpose of using GlobalSearch.

I am searching a 6-8 dimensional parameter space. My objective function (Fit_model) simulates a time series model and returns the sum squared error between model and empirical data.

I call:

gs = GlobalSearch('Display','iter');
    obj = @(P) Fit_Model(FIb,nS,nC,nSC,nT,Groups,Cue,mP,y,CueT,ChannelBool,xinit,P);
    problem = createOptimProblem('fmincon','x0',x0,'objective',obj,'lb',lb,'ub',ub);
    [xmin,fmin,flag,output,solutions] = run(gs,problem);

and get the following response:

    Num Pts                 Best       Current    Threshold        Local        Local                 
    Analyzed  F-count        f(x)       Penalty      Penalty         f(x)     exitflag        Procedure
           0     1295       0.235                                   0.235            2    Initial Point

    GlobalSearch stopped because it analyzed all the trial points.

    The local solver ran once and it converged with a positive local solver exit flag.

and global solver output:

 output = 

      struct with fields:

                    funcCount: 1303
             localSolverTotal: 1
           localSolverSuccess: 1
        localSolverIncomplete: 0
        localSolverNoSolution: 0

[Jinsen]

Hi, James, have you figured out the reason for that? I think I am facing exactly the same issue. and once I changed the initial values, the GlobalSearch can return with a different set of parameters etimated, meaning that the global minima has not been found...My objective function also simulate a time series model (sets of ordinary differential equations). Would really appreciate if you can share with your experience. Thanks. Jinsen

Answer 1

[Alan Weiss]

I suggest that you try using MultiStart instead. The GlobalSearch algorithm tries not to run the local solver from very many points. MultiStart has no such behavior. See How GlobalSearch and MultiStart Work.

Alan Weiss

MATLAB mathematical toolbox documentation

[James Heald]

But globalsearch doesn't even run the stage one start point so something is awry...