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Hi,
Can someone tell me where I can find a routine to minimize a function of several variables with simple bounds? I am looking for a routine that is based only on function evaluations; I do not know the derivatives for the function and the function may be non-smooth.
For example, I am trying to minimize a function f(x1,...xN) where 1 < x1 <= 2 ... 0 <= xN < 4 and f(--) returns a scalar value.
I know that IMSL has routines for this, but I am trying to find the source code for such a routine.
Please let me know if you have any suggestions.
Thanks,
Day
Can someone tell me where I can find a routine to minimize a function of several variables with simple bounds? I am looking for a routine that is based only on function evaluations; I do not know the derivatives for the function and the function may be non-smooth.
For example, I am trying to minimize a function f(x1,...xN) where 1 < x1 <= 2 ... 0 <= xN < 4 and f(--) returns a scalar value.
I know that IMSL has routines for this, but I am trying to find the source code for such a routine.
Please let me know if you have any suggestions.
Thanks,
Day
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Quoting - dsmanoli@econ.ucla.edu
Hi,
Can someone tell me where I can find a routine to minimize a function of several variables with simple bounds? I am looking for a routine that is based only on function evaluations; I do not know the derivatives for the function and the function may be non-smooth.
For example, I am trying to minimize a function f(x1,...xN) where 1 < x1 <= 2 ... 0 <= xN < 4 and f(--) returns a scalar value.
I know that IMSL has routines for this, but I am trying to find the source code for such a routine.
Please let me know if you have any suggestions.
Thanks,
Day
Can someone tell me where I can find a routine to minimize a function of several variables with simple bounds? I am looking for a routine that is based only on function evaluations; I do not know the derivatives for the function and the function may be non-smooth.
For example, I am trying to minimize a function f(x1,...xN) where 1 < x1 <= 2 ... 0 <= xN < 4 and f(--) returns a scalar value.
I know that IMSL has routines for this, but I am trying to find the source code for such a routine.
Please let me know if you have any suggestions.
Thanks,
Day
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Quoting - David White
Suggest you look in netlib.org; or Alan Miller's site as starters.
There is also the CERNLIB 'MATHLIB' library available as a download from CERN ( see http://cernlib.web.cern.ch/cernlib/), from which these routines are available:
http://wwwasdoc.web.cern.ch/wwwasdoc/shortwrupsdir/d501/top.html
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Hi
A good starting point might be Numerical Recipies (www.nr.com) - the routines are fairly simple, but works well for small problems. For a more comprehensive code I will suggest that you look at www.coin-or.org, this is a really good solver based on open-source.
Best regards
Jeppe Grue
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Quoting - jeppe.grue@vattenfall.com
Hi
A good starting point might be Numerical Recipies (www.nr.com) - the routines are fairly simple, but works well for small problems. For a more comprehensive code I will suggest that you look at www.coin-or.org, this is a really good solver based on open-source.
Best regards
Jeppe Grue
http://plato.asu.edu/guide.html
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CERLIB is free and you can access the source code.
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