Question

I was wondering if anyone had any suggestions for minimizing a function, f(x,y), where x and y are integers. I have researched lots of minimization and optimization techniques, like BFGS and others out of GSL, and things out of Numerical Recipes. So far, I have tried implenting a couple of different schemes. The first works by picking the direction of largest descent f(x+1,y),f(x-1,y),f(x,y+1),f(x,y-1), and follow that direction with line minimization. I have also tried using a downhill simplex (Nelder-Mead) method. Both methods get stuck far away from a minimum. They both appear to work on simpler functions, like finding the minimum of a paraboloid, but I think that both, and especially the former, are designed for functions where x and y are real-valued (doubles). One more problem is that I need to call f(x,y) as few times as possible. It talks to external hardware, and takes a couple of seconds for each call. Any ideas for this would be greatly appreciated.

Here’s an example of the error function. Sorry I didn’t post this before. This function takes a couple of seconds to evaluate. Also, the information we query from the device does not add to the error if it is below our desired value, only if it is above

double Error(x,y)
{
  SetDeviceParams(x,y);
  double a = QueryParamA();
  double b = QueryParamB();
  double c = QueryParamC();
  double _fReturnable = 0;
  if(a>=A_desired)
  {
    _fReturnable+=(A_desired-a)*(A_desired-a);
  }
  if(b>=B_desired)
  {
    _fReturnable+=(B_desired-b)*(B_desired-b);
  }
  if(c>=C_desired)
  {
    _fReturnable+=(C_desired-c)*(C_desired-c);
  }
  return Math.sqrt(_fReturnable)
}

Answer 1

How do you define f(x,y) ? Minimisation is a hard problem, depending on the complexity of your function.

Genetic Algorithms could be a good candidate.

Resources:

Genetic Algorithms in Search, Optimization, and Machine Learning

Implementing a Genetic Algorithms in C#

Simple C# GA