nonlinear constraint problem with genetic algorithm
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I am trying to use Matlab's ga function to solve the following optimization problem: given an mxnum_columns matrix X, pick k columns (k < num_columns) whose optimal least-squares reconstruction Xr minimizes the Frobenius norm :
function loss = minimum_ls(x,X)
% extract regressor matrix using integers in x as indices into X
S = X(:,x);
% Calculate associated projection matrix which is optimal in the least
% square error sense
Phi = S*(inv(S'*S))*S';
% Calculate optimal linear reconstruction of X for given arbitrary
% regressor matrix
Xr = Phi*X;
% Get loss associated with this lead selection
loss = norm(X - Xr,'fro');
end
I use the function minimum_ls as the objective function
num_columns = size(X,2)
for k = 1:num_columns
% set options
options = optimoptions('ga','CrossoverFrac',0.8,...
'UseParallel',true,...
'UseVectorized',false);
nvars = k;
lb = ones(l,k); ub = num_columns*ones(l,k);
IntCon = 1:k;
nonlcon = @unique_columns;
[~,loss(k)] = ga(@(x)minimum_ls(x,X),...
nvars,[],[],[],[],lb,ub,nonlcon,IntCon,options);
end
Where nonlcon requires that the integers in the variable x are unique,:
function [c,ceq] = unique_columns(x)
c = ~(length(x) == length(unique(x)));
ceq = [];
end
The problem arises as k, the number of columns being selected grows bigger. As an example, X is a 306x193 matrix, and the nonlinear constraint is often not satisfied for k > 30, when I start to receive the following message:
Optimization terminated: average change in the penalty fitness value less than options.FunctionTolerance
but constraints are not satisfied.
What's going on here? For k < 30, the constraint is always satisfied, and it can be satisfied easily with the following lines of code:
x = randi(num_columns,k,1)
while (length(x) ~= length(unique(x)))
x = randi(num_columns,k,1)
end
The above loop can take a long time for large numbers of k, but eventually it will find a solution. Is there a way to force Matlab to take more time to meet the constraint? Is there a better way to meet the constraint?
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