2,989 research outputs found
Analogues of Dixon's and Powell's Theorems for Unconstrained Minimization with Inexact Line Searches
By modifying the way in which search directions are defined, we show how to relax the restrictive assumption that line searches must be exact in the theorems of Dixon and Powell. We show also that the BFGS algorithm modified in this way is equivalent to the three-term-recurrence (TTR) method for quadratic functions
Experimental Comparisons of Derivative Free Optimization Algorithms
In this paper, the performances of the quasi-Newton BFGS algorithm, the
NEWUOA derivative free optimizer, the Covariance Matrix Adaptation Evolution
Strategy (CMA-ES), the Differential Evolution (DE) algorithm and Particle Swarm
Optimizers (PSO) are compared experimentally on benchmark functions reflecting
important challenges encountered in real-world optimization problems.
Dependence of the performances in the conditioning of the problem and
rotational invariance of the algorithms are in particular investigated.Comment: 8th International Symposium on Experimental Algorithms, Dortmund :
Germany (2009
SDLS: a Matlab package for solving conic least-squares problems
This document is an introduction to the Matlab package SDLS (Semi-Definite
Least-Squares) for solving least-squares problems over convex symmetric cones.
The package is shortly presented through the addressed problem, a sketch of the
implemented algorithm, the syntax and calling sequences, a simple numerical
example and some more advanced features. The implemented method consists in
solving the dual problem with a quasi-Newton algorithm. We note that SDLS is
not the most competitive implementation of this algorithm: efficient, robust,
commercial implementations are available (contact the authors). Our main goal
with this Matlab SDLS package is to provide a simple, user-friendly software
for solving and experimenting with semidefinite least-squares problems. Up to
our knowledge, no such freeware exists at this date
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