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29282 Discussions

minimization routine with bounds

dsmanoli
Beginner
‎07-03-2009 04:18 PM
1,585 Views
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
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DavidWhite
Valued Contributor II
‎07-05-2009 06:39 PM
1,585 Views
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
Suggest you look in netlib.org; or Alan Miller's site as starters.

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anthonyrichards
New Contributor III
‎07-06-2009 02:07 AM
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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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Jeppe_G_
Beginner
‎07-07-2009 01:37 AM
1,585 Views

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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bendel_boy1
Beginner
‎07-07-2009 01:59 AM
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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
Always remember the optimisation routines decision guide:

http://plato.asu.edu/guide.html
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anthonyrichards
New Contributor III
‎07-07-2009 02:03 AM
1,585 Views

CERLIB is free and you can access the source code.
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