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CE 771: Optimization in Civil

Engineering
Avijit Maji
Department of Civil Engineering
IIT Bombay
Golden section search method
• Calculating the Fibonacci is additional burden
• At every iteration the proportion of elimination is not same
• In Golden section search method the search space (a, b) is linearly
mapped to unit interval (0, 1)
• Two points at a distance of ! from either end of the search space are
chosen
• In every iteration, (1 − !) portion of the search space is eliminated
• The golden number for ! is 0.618

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Algorithm
• Step 1: For a given lower and upper bounds (a, b), choose a small
number (!) representing the precision of the result. Normalize the
variable x by using the equation w = (x-a)/(b-a). Hence, aw = 0, bw = 1
and Lw = 1. Set k = 1.
• Step 2: Set w1 = aw + 0.618Lw and w2 = bw – 0.618Lw. Compute f(w1) or
f(w2) not evaluated before. Use fundamental region-elimination rule
to eliminate a region. Set new aw and bw and estimate Lw = bw – aw
• Step 3: If |Lw| = !, end the process; Else set k = k + 1 and go to Step 2
• The interval reduces to (0.618)n-1L after nth function evaluation
• It can be used to estimate the accuracy (!)

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Example
• Minimize f(x) = x2 + 54/x in the interval of 0 and 4.
• You may consider ! = 0.2 for this problem.

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Point Estimation Method
• The magnitude of the function values at the chosen points may also
provide some information about the location of the minimum point
• However, derivation of certain functions could be cumbersome
• If a surrogate function with known derivates is used to represent the
objective function, the optimal value can be obtained faster
• Successive quadratic estimation method is one such method

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Successive quadratic estimation method
• Three points can define a quadratic equation
• Function values at three different points (!", !# and !$) can be used to develop
the quadratic equation that approximates the actual objective function
• Quadratic function passing through two points (!" and !#) is presented as:
% ! = '( + '" ! − !" + '# ! − !" ! − !#
, -. /, -0
Where, '( = + !" '" = -. /-0
" , -1 /, -0
'# = -1 /-. -1 /-0
− '"
The minimum point on the quadratic function
!" + !# '"
!̅ = −
2 2'#

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Algorithm
• Step 1: Let !" be an initial point and ∆ be the step size. !$ = !" + ∆
• Step 2: Evaluate ' !" and ' !$
• Step 3: If ' !" > ' !$ , then !) = !" + 2∆ Else, !) = !" − ∆
• Step 4: Determine ,-./ = min ' !" , ' !$ , ' !) and 3-./
representing the ,-./
• Step 5: Calculate !̅ and 5$ . For –ve 5$ replace one of the points with a
random point
• Step 6: Stop the process if ,-./ − ' !̅ and 3-./ − !̅ are sufficiently
small Else save the best point among !" , !$ , !) , !̅ along with two bracketing
points and relabel them as !" < !$ < !) . Then go to Step 4
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Assignment Problem
• Minimize f(x) = x2 + 54/x for an initial value of x1 = 2.7 and ∆ = 0. 5
• Stop the process when "#$% − ' )̅ < 0.1 and *#$% − )̅ < 0.01

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