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Numerical Optimization Module

Numerical optimization routines. More...

Classes

class  itpp::Newton_Search
 Newton Search. More...
class  itpp::Line_Search
 Line Search. More...

Enumerations

enum  itpp::Newton_Search_Method { BFGS }
 

Newton Search method.


enum  itpp::Line_Search_Method { Soft, Exact }
 

Line Search method.


Functions

vec itpp::fminunc (double(*function)(const vec &), vec(*gradient)(const vec &), const vec &x0)
 Unconstrained minimization.

Detailed Description

Numerical optimization routines.


Function Documentation

vec itpp::fminunc ( double(*)(const vec &)  function,
vec(*)(const vec &)  gradient,
const vec x0 
)

Unconstrained minimization.

Unconstrained minimization using a Newton or Quasi-Newton optimization method that try to minimize the objective function $f(\mathbf{x})$ given an initial guess $\mathbf{x}$.

The function and the gradient need to be known and supplied.

The default algorithm is a Quasi-Newton search using BFGS updates of the inverse Hessian matrix.

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