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Fibonacci Search10222014

This document describes the Fibonacci search technique for finding the maximum of a unimodal function. It involves iteratively evaluating the function at points defined by the Fibonacci sequence to narrow the search interval. Specifically: (1) It begins with an initial interval and evaluates the function at two symmetric points; (2) It eliminates the sub-interval where the function value is higher; (3) It repeats using a new pair of symmetric points until the interval is sufficiently small. The number of function evaluations required is given by the Fibonacci sequence, converging rapidly to the local maximum when the function is unimodal.

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Amanda Green
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© © All Rights Reserved
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Download as PDF, TXT or read online on Scribd
43 views

Fibonacci Search10222014

This document describes the Fibonacci search technique for finding the maximum of a unimodal function. It involves iteratively evaluating the function at points defined by the Fibonacci sequence to narrow the search interval. Specifically: (1) It begins with an initial interval and evaluates the function at two symmetric points; (2) It eliminates the sub-interval where the function value is higher; (3) It repeats using a new pair of symmetric points until the interval is sufficiently small. The number of function evaluations required is given by the Fibonacci sequence, converging rapidly to the local maximum when the function is unimodal.

Uploaded by

Amanda Green
Copyright
© © All Rights Reserved
Available Formats
Download as PDF, TXT or read online on Scribd
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Other Search Techniques

Instead of taking derivatives (which may be


computationally intensive), use two function
evaluations to determine updated interval. Can use
Golden section (as in book), or here, Fibonacci search

Fibonacci Search

Step 1. Begin with the region of uncertainty for as [a,


b]. Evaluate f (1) and f (2) for 2 symmetric points 1<2.

Step 2. If f (1) f (2), then eliminate the interval up to 1.


If f (1) > f (2), then eliminate the interval beyond 2.

Step 3. Select a second point symmetric to the point


already in the new interval, rename these points 1 and
2 such that 1<2 and evaluate f (1) and f (2). Return
to
1
Step 2 until the interval is sufficiently small.
IEOR160 2014

On Fibonacci search
1, 1, 2, 3, 5, 8, 13, 21, 34
At iteration 1, the length of the search
interval is the kth fibonacci number for
some k
At iteration j, the length of the search
interval is the k-j+1 fibonacci number.
The technique converges to the optimal
when the function is unimodal.
2
IEOR160 2014

Finding a local maximum using


Fibonacci Search.

Length of search
interval 34
853
13
21

18

13
16

IEOR160 2014

21
19

Where the maximum may be

26

34
3

The search finds a local maximum, but


not necessarily a global maximum.

18

13
16

21
19

26

34
4

IEOR160 2014

The search finds a local maximum, but


not necessarily a global maximum.

18

13
16

21
19

26

34
5

IEOR160 2014

Number of function evaluations in


Fibonacci Search

As new point is chosen symmetrically, the length lk of


successive search intervals is given by: lk = lk+1 + lk+2 .

Solving for these lengths given a final interval length of


1, ln = 1, gives the Fibonacci numbers: 1, 2, 3, 5, 8, 13, 21,
34,

Thus, if the initial interval has length 34, it takes 8


function calculations to reduce the interval length to 1.

Remark: if the function is convex or unimodal, then


fibonacci search converges to the global maximum

IEOR160 2014

NLP Summary

Convex and Concave functions as well as convex sets


are important properties

Binary or Fibonacci search techniques


used to solve single variable unimodal functions

7
IEOR160 2014

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