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GLOBAL OPTIMIZATION 10.

0
GLOBAL NONLINEAR OPTIMIZATION USING
MATHEMATICA
Loehle Enterprises
1258 Windemere Ave.
Naperville, IL 60564
USA
630-527-8402
630-416-9902 fax
info@loehleenterprises.com
www.loehleenterprises.com

Version 10.0
(C) Copyright 1998-2014 Loehle Enterprises. No part of this manual or software may be copied or reverse
engineered except that purchasers of this package may make back up copies of the software.

*****************************************************************
DISCLAIMER

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NOTICE: The software product described in this manual is a research tool. No warranty is offered as to
operability of this product. No guarantee can be made that any particular nonlinear equation can be solved.
No safety critical or financial decisions should be based on the operation of this software. The manufacturer
accepts no liability for losses resulting from its use.
*****************************************************************

i CONTENTS

TABLE OF CONTENTS

I Getting Started 3

1 Welcome 3
2 Registering 3
3 Installation 4
4 A Quick Start and Example 4

II Tips for Performance 10

1 Improving Performance 10
2

1 Improving Performance 10
2 Parallel Computing 11
3 The Compile Function 13
4 User Functions: Working with Named Functions 14

III General Nonlinear Optimization: GlobalSearch


and GlobalPenaltyFn 19

1 Introduction 19
2 Example 20
3 Program Operation. 20
A Parameters and Default Values 20
B Bounds 21
C Constraints 21
4 Output 26
5 Maximization 26
6 Limitations 27
7 Error Messages 28
8 Performance/Speed 30
9 Testing and Examples 36
10 Difficult Problems (crashing kernel) 41

V Nonlinear Regression 42

1 Introduction 42
2 Utilizing chi-square fit criteria 51
3 Multiple Independent Variables Regression 51
4 Comparing multiple models with MultModelRegression 57
5 Stepwise regression with StepWiseRegression 58
6 Logistic regression 60

V Maximum Likelihood Estimation: the MaxLikelihood Function 63

1 Introduction 63
2 Examples and Built-In Functions 64

VI Discrete Variable Problems:


InterchangeMethod & TabuSearchMin 70

1 Introduction 70
2 Applications 71
A Capital Allocation 71
B Vehicle Routing/Travelling Salesman 72
C Minimum Spanning Tree 76

VII The MaxAllocation Function 77

1 Introduction 77
3

1 Introduction 77
2 Applications 80
A Investment Allocation Problems 80
B Derivative Hedging with Quadratic Programming 81

VIII Applications 82

1 Zeros of a Function/Roots of a Polynomial 82


2 Integer Programming: the Knapsack Problem 84
3 Differential Equation Models 84

IX Literature Cited 87

I GETTING STARTED

I.1 Welcome
Welcome to Global Optimization. This package provides a suite of tools for solving nonlinear
optimization problems, as well as a variety of other applications such as finding the roots or zeros of a
nonanalytic function. The package is easier, simplier, and more robust than most optimization tools, and you
will find yourself working more efficiently and more easily than before. This package solves many problems
competing products either do not solve at all, or yields a better solution. It handles any combination of Real,
Integer, and Binary (0-1) variables. It is particularly effective for problems in finance, engineering, model
estimation, biochemistry and other difficult fields where other tools are unable to perform well. It accepts
black-box models. The user does not need to give a feasible starting point. The package finds multiple
solutions if they exist, which competing tools do not do.

I.2 Registering
Before you continue please register by emailing your name and address with a notice that you have
purchased Global Optimization to info@loehleenterprises.com. This will enable us to reach you with free
updates and other news. The developer does not receive customer information when the package is pur-
chased from Wolfram Research or from distributors. Please include the version of Global Optimization that
you purchased and the machine you are using it on.

I.3 Installation

I.3.A Recommended System Capabilities


This package is designed to work with Mathematica, which must be installed on your computer. The
following are recommended system capabilities for installation:



Personal computer, 600 MHz or faster


200Mb free RAM or more
Mathematica 7.0 or higher installed