mhw4dx.gms : MHW4D with additional Tests
This popular test problem has several local solutions, local minima
with obj value of 27.87190522 and 52.90257967, and the global minimum
with an obj value of 0.02931083. Additional programming is done to
test for the correct solution.
Reference:
- Wright, M H, Numerical Methods for Nonlinearly Constraint Optimization. PhD thesis, Stanford University, 1976.
Small Model of Type: NLP
<![CDATA[
$Title Nonlinear Test Problem (MHW4DX,SEQ=267)
$Ontext
This popular test problem has several local solutions, local minima
with obj value of 27.87190522 and 52.90257967, and the global minimum
with an obj value of 0.02931083. Additional programming is done to
test for the correct solution.
Wright, M H, Numerical Methods for Nonlinearly Constraint Optimization.
PhD thesis, Stanford University, 1976.
$Offtext
Variables m, x1, x2, x3, x4, x5;
Equations funct, eq1, eq2, eq3;
funct.. m =e= sqr(x1-1) + sqr(x1-x2) + power(x2-x3,3)
+ power(x3-x4,4) + power(x4-x5,4) ;
eq1.. x1 + sqr(x2) + power(x3,3) =e= 3*sqrt(2) + 2 ;
eq2.. x2 - sqr(x3) + x4 =e= 2*sqrt(2) - 2 ;
eq3.. x1*x5 =e= 2 ;
Model wright / all / ;
x1.l = -1; x2.l = 2; x3.l = 1; x4.l = -2; x5.l = -2;
option limcol=0,limrow=0;
Solve wright using nlp minimizing m;
* there are at least three solutions
* 52.90257967
* 27.87190522
* 0.02931083 global
option decimals=8; display m.l, x1.l, x2.l, x3.l, x4.l, x5.l;
$eolcom //
scalar tol / 1e-5 /;
if( abs(m.l-52.90257967) < tol, // local solution
abort$(abs(x1.L-.728003827) > tol) 'x1.l is bad';
abort$(abs(x2.L+2.24521084) > tol) 'x2.l is bad';
abort$(abs(x3.L-.779513778) > tol) 'x3.l is bad';
abort$(abs(x4.L-3.68127970) > tol) 'x4.l is bad';
abort$(abs(x5.L-2.74723830) > tol) 'x5.l is bad';
display 'good local solution';
abort$(wright.modelstat=%modelstat.Optimal%) 'solver report a local solution as global';
elseif abs(m.l-27.87190522) < tol, // local solution
abort$(abs(x1.L+1.27305303) > tol) 'x1.l is bad';
abort$(abs(x2.L-2.41035427) > tol) 'x2.l is bad';
abort$(abs(x3.L-1.19485902) > tol) 'x3.l is bad';
abort$(abs(x4.L+0.15423906) > tol) 'x4.l is bad';
abort$(abs(x5.L+1.57102647) > tol) 'x5.l is bad';
display 'good local solution';
abort$(wright.modelstat=%modelstat.Optimal%) 'solver report a local solution as global';
elseif abs(m.L -0.02931083) < tol,
abort$(abs(x1.L-1.11663475) > tol) 'x1.l is bad';
abort$(abs(x2.L-1.22044082) > tol) 'x2.l is bad';
abort$(abs(x3.L-1.53778539) > tol) 'x3.l is bad';
abort$(abs(x4.L-1.97277020) > tol) 'x4.l is bad';
abort$(abs(x5.L-1.79109597) > tol) 'x5.l is bad';
display 'this is the global solution';
else
abort$yes 'unknown solution' );
]]></plaintext></body></div>