Iterative Methods for Optimization: Matlab Codes

• README : Current status.
• Gzipped tar file with everything optimization.tar.gz
• Line Search Methods:
  • steep.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
• Trust Region Codes:
  • ntrust.m : Newton's Method with Simple Dogleg
  • levmar.m : Levenberg-Marquardt for nonlinear least squares
  • cgtrust.m : Steihaug CG-dogleg
• Bound Constrained Problems:
  • gradproj.m : Gradient Projection Method
  • projbfgs.m: Projected BFGS code
• Noisy Problems:
  • imfil.m : Implicit Filtering (OLD CODE). Please use the NEW CODE
  • nelder.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
• NEW Implicit Filtering Code in MATLAB. This replaces the fortran code.
• Fortran Codes for Noisy Problems
  • --> UNSUPPORTED <-- The Gilmore-Choi-Eslinger-Kelley-Patrick-Gablonsky FORTRAN code and users' guide for implicit filtering with bound constraints.
  • Joerg Gablonsky's DIRECTv204.tar.gz FORTRAN code for DIRECT with documentation
• Dan Finkel's Matlab implementation of DIRECT