Port to optmum mt

Can you provide any guidance for porting code written to use optmum to optmum mt?

1 Answer



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Probably the easiest way to learn about the differences is to look at two identical examples.

Optmum code

//Load 'optmum' library
library optmum;

//Include file with global variable definitions
#include optmum.ext

//Set global control values to defaults
optset;

//Create extra data for optimization function
q = { 0.78 -0.02 -0.12 -0.14,
     -0.02  0.86 -0.04  0.06,
     -0.12 -0.04  0.72 -0.08,
     -0.14  0.06 -0.08  0.74 };

b = { 0.76, 0.08, 1.12, 0.68 };

//Define function to be optimized
proc  qfct(x);
    retp(.5*x'*q*x-x'b);
endp;

//Set optimization method
_opstmth = "NEWTON STEPBT";

//Set starting parameter values
x0 = { 1, 1, 1, 1 };

//Optimize function
{ x,fmin,g,retcode } = optmum(&qfct,x0);

//Print results to screen
call optprt(x,fmin,g,retcode);

Optmt code

//Load 'optmt' library
library optmt;

//Include file with structure definitions
#include optmt.sdf

//Declare 'd0' to be a DS struct
//and reshape it to be 2x1
struct DS d0;
d0 = reshape(d0,2,1);

//Assign data to 'd0' structure
d0[1].dataMatrix = 
    { 0.78 -0.02 -0.12 -0.14,
     -0.02  0.86 -0.04  0.06,
     -0.12 -0.04  0.72 -0.08,
     -0.14  0.06 -0.08  0.74 };

d0[2].dataMatrix = { 0.76, 0.08, 1.12, 0.68 };

//Declare 'p0' to be a PV structure
//to hold parameter values
struct PV p0;

//Fill 'p0' with a starting vector of ones
p0 = pvPack(pvCreate,1|1|1|1,"x");

//Declare 'c0' to be an optmtControl structure
//and fill with default values
struct optmtControl c0;
c0 = optmtControlCreate();

//Function to optimize
proc  qfct(struct PV p, struct DS d, ind);
    local x,q,b;
    struct modelResults mm;
   
    x = pvUnpack(p,"x");
    q = d[1].dataMatrix;
    b = d[2].dataMatrix;
   
    if ind[1];
        mm.function = .5*x'*q*x - x'b;
    endif;
    retp(mm);

endp;

//Declare 'out' to be an optmtResults structure
struct optmtResults out;

//Optimize function
out = optmt(&qfct,p0,d0,c0);

//Print results to the screen
call optmtPrt(out);

Optmt
The latest version with GAUSS 16 allows some simplification of the use of OPTMT. For example, it does not require use of DS structures for extra data, it does not require the control structure if you are using default values and it also does not require the #include statement.

//Load 'optmt' library
library optmt;

//Create extra data for optimization function
q = { 0.78 -0.02 -0.12 -0.14,
     -0.02  0.86 -0.04  0.06,
     -0.12 -0.04  0.72 -0.08,
     -0.14  0.06 -0.08  0.74 };

b = { 0.76, 0.08, 1.12, 0.68 };


//Function to optimize
proc  qfct(struct PV p, q, b, ind);
    local x;
    struct modelResults mm;
   
    x = pvUnpack(p,"x");
   
    if ind[1];
        mm.function = .5*x'*q*x - x'b;
    endif;
    
    retp(mm);
endp;

//Declare 'p0' to be a PV structure
//to hold parameter values
struct PV p0;

//Fill 'p0' with a starting vector of ones
p0 = pvPack(pvCreate,1|1|1|1,"x");

//Declare 'out' to be an optmtResults structure
struct optmtResults out;

//Optimize function
out = optmt(&qfct, p0, q, b);

//Print results to the screen
call optmtPrt(out);

aptech

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