IMSL Mathematics Reference Guide
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Optimization
Optimization
This section contains the following topics:
Unconstrained Minimization
FMIN Function (PV-WAVE Advantage)
—(Univariate Function) Using function and possibly first derivative values.
MIN_UNCON_GOLDEN Function (PV-WAVE Advantage)
—(Univariate Function) Finds the minimum point of a nonsmooth function of a single variable using the golden section search method.
FMINV Function (PV-WAVE Advantage)
—(Multivariate Function) Using quasi-Newton method.
NLINLSQ Function (PV-WAVE Advantage)
—(Nonlinear Least Squares) Using Levenberg-Marquardt algorithm.
Linearly Constrained Minimization
LINEAR_PROGRAMMING Function (PV-WAVE Advantage)
—Minimizes the Euclidean scalar product <
c
,
x
> on
R
n
, for fixed
c
, linear constraints
bl
≤
Ax
≤
bu
, and bounds
xl
≤
x
≤
xu
.
LINPROG Function (PV-WAVE Advantage)
—Dense linear programming.
QUADPROG Function (PV-WAVE Advantage)
—Quadratic programming.
MINCONGEN Function (PV-WAVE Advantage)
—Minimize a general objective function.
Nonlinearly Constrained Minimization
NONLINPROG Function (PV-WAVE Advantage)
—Using successive quadratic programming method.
CONSTRAINED_NLP Function (PV-WAVE Advantage)
—Using a sequential equality constrained quadratic programming method.
Version 2017.0
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