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Numerical Optimization Routines

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 { itpp::BFGS }
enum  itpp::Line_Search_Method { itpp::Soft, itpp::Exact }

Functions

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

Detailed Description

Numerical optimization routines.


Enumeration Type Documentation

enum itpp::Newton_Search_Method

Enumerator:
BFGS 

Definition at line 50 of file newton_search.h.

enum itpp::Line_Search_Method

Enumerator:
Soft 
Exact 

Definition at line 181 of file newton_search.h.


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.

Definition at line 661 of file newton_search.cpp.

References itpp::Newton_Search::search(), and itpp::Newton_Search::set_functions().

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