Algorithm 738

swMATH ID: 8077
Software Authors: T Chow, E Eskow, R Schnabel
Description: Algorithm 738: a software package for unconstrained optimization using tensor methods. This paper describes a software package for finding the unconstrained minimizer of a nonlinear function of n variables. The package is intended for problems where n is not too large—say, n 100—so that the cost of storing one n × n matrix, and factoring it at each iteration, is acceptable. The software allows the user to choose between a recently developed “tensor method” for unconstrained optimization and an analogous standard method based on a quadratic model. The tensor method bases each iteration on a specially constructed fourth-order model of the objective function not significantly more expensive to form, store, or solve than the standard quadratic model. In our experience, the tensor method requires significantly fewer iterations and function evaluations to solve most unconstrained optimization problems than standard methods based on quadratic models, and also solves a somewhat wider range of problems. For these reasons, it may be a useful addition to numerical software libraries.
Homepage: http://dl.acm.org/citation.cfm?id=198438
Keywords: low-discrepancy sequences; Niederreiter sequences; quasi-Monte Carlo; quasirandom sequences
Related Software: CUTEr; PORT; Algorithm 739; CUTEst; CG_DESCENT; SifDec; Algorithm 713; mpcheck; Algorithm 272; LLRANDOM; Algorithm 304; Algorithm 542; Algorithm 236; FNLIB; NetRexx; REXX; Algorithm 597; algorithm 577; Algorithm 610; Algorithm 511
Cited in: 8 Publications

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