UNCMIN UNCMIN Unconstrained optimization
UNCMIN is a modular package based on a Newton or quasi-Newton approach. It allows the user to select from various options for calculating or approximating derivatives and for the step selection strategy. The Hessian matrix may be calculated either analytically or by finite differences (Newton's method) or the BFGS update (quasi-Newton). The gradient vector may be supplied by the user or calculated by finite differences. Options for step selection include line search, double dogleg trust region, and a hookstep trust region method. Any combination of these options is permitted.
The software can be called with an interface where the user supplies only the function, number of variables, and starting point; default choices are made for all other input parameters. In this case the method is a BFGS method with line search and finite difference gradients. An alternative interface allows the user to specify any input parameters that are different from the defaults.
The package comes with an extensive users manual and test problems together with their data. It also includes a second version where the function is supplied via reverse communication.
The software corresponds closely, although not exactly, to the modular set of algorithms in the appendix of the book by Dennis and Schnabel cited below.
The software is written in standard Fortran. It is provided in single precision, but simple instructions for conversion to double precision are included. The only machine dependency is upon machine precision, which is either calculated by the software or provided by the user.
Contact:
Robert B. Schnabel Department of Computer Science University of Colorado Boulder, CO 80309-0430 Phone: (303) 492-7554 bobby@cs.colorado.edu
J. E. Dennis and R. B. Schnabel, Numerical Methods for Unconstrained Optimization and Nonlinear Equations, Prentice Hall, 1983.
R. B. Schnabel, J. E. Koontz, and B. E. Weiss, A modular system of algorithms for unconstrained minimization, ACM Trans. Math. Software 11 (1985), pp. 419--440.
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