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SIAM: FR18 Iterative Methods for Optimization Matlab Code

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Iterative Methods for Optimization C.T. Kelley Frontiers in Applied Mathematics 18 Matlab Code
Iterative Methods for Optimization: Matlab Codes
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README : Curtent status. Compressed tar file with all matlab codes. Line Search Methods:
rsteep.m : Steepest Descent gaussn.m : Damped Gauss-Newton bfgswopt.m : BFGS, low storage Polynomial line search routines: polyline.m , polymod.m Numerical Derivatives: diffhess.m : Difference Hessian, requires dirdero.m : directional derivative, as do several other codes ntrust.m : Newton's Method with Simple Dogleg levmar.m : Levenberg-Marquardt for nonlinear least squares cgtrust.m : SteihaugCG-dogleg

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Trust Region Codes:
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SIAM: FR18 Iterative Methods for Optimization Matlab Code
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Bound Constrained Problems:
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gradproj.m : Gradient Projection Method projbfgs.m: Projected BFGS code

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Noisy Problems:
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imfil.m : Implicit Filteringnelder.m : Nelder-Mead simpgrad.m : Simplex Gradient, used in implicit filtering and Nelder-Mead codes hooke.m : Hooke-Jeeves code mds.m : Multidirectional Search code

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Fortran Codes for Noisy Problems
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The Paul Gilmore/Tony Choi FORTRAN code and users' guide for implicit filtering with bound constraints. Goerg Gablonsky's direct.tar.Z FORTRAN code for DIRECT withdocumentation

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All computations reported in this book were done in MATLAB (version 5.2 on various SUN SPARCstations and on an Apple Macintosh Powerbook 2400). One can obtain MATLAB from The MathWorks, Inc. 3 Apple Hill Drive Natick, MA 01760-2098 USA Phone: 508-647-7000 Fax: 508-647-7001 E-mail: info@mathworks.com WWW: http://www.mathworks.com Last modified: Jan 11, 1999

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These files are current as of December 9, 1998. ----------------MATLAB/FORTRAN software for Iterative Methods for Optimization by C. T. Kelley These M-files are implementations of the algorithms from the book "Iterative Methods for Optimization", to be published by SIAM, by C. T. Kelley. The book, which describes the algorithms, isavailable from SIAM (service@siam.org). These files can be modified for non-commercial purposes provided that the authors: C. T. Kelley for all MATLAB codes, P. Gilmore and T. D. Choi for iffco.f J. M. Gablonsky for DIRECT are acknowledged and clear comment lines are inserted that the code has been changed. The authors assume no no responsibility for any errors that may exist in theseroutines. Questions, comments, and bug reports should be sent to Professor C. T. Kelley Department of Mathematics, Box 8205 North Carolina State University Raleigh, NC 27695-8205 (919) 515-7163 (919) 515-3798 (FAX) Tim_Kelley@ncsu.edu -------------------------------------The MATLAB optimization codes have the calling convention [f,g] = objective(x) returns both the objective function value f andthe gradient vector g. I expect g to be a column vector. The Nelder-Mead, Hooke-Jeeves, Implicit Filtering, and MDS codes
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http://www.siam.org/books/kelley/fr18/OPT_CODE/README

do not ask for a gradient. -- Tim

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