TOLMIN (optimization software)

This article is about TOLMIN, an optimization algorithm/software by Professor Michael J. D. Powell. For other uses of the word "Tolmin", see Tolmin (disambiguation).

TOLMIN [1][2] is a numerical optimization algorithm by Michael J. D. Powell. It is also the name of Powell's Fortran 77 implementation of the algorithm.

TOLMIN seeks the minimum of a differentiable nonlinear function subject to linear constraints (equality and/or inequality) and simple bounds on variables. Each search direction is calculated so that it does not intersect the boundary of any inequality constraint that is satisfied and that has a "small" residual at the beginning of the line search. The meaning of "small" depends on a parameter called TOL which is automatically adjusted, and which gives the name of the software.

Features of the software include: quadratic approximations of the objective function whose second derivative matrices are updated by means of the BFGS formula, active sets technique, primal-dual quadratic programming procedure for calculation of the search direction.

The TOLMIN software is distributed under The GNU Lesser General Public License (LGPL).[2]

See also

References

  1. ↑ Powell, M. J. D. (1989). "A tolerant algorithm for linearly constrained optimization calculations". Mathematical Programming (Springer) 45: 547－566. doi:10.1007/BF01589118.
  2. 1 2 "Source code of TOLMIN software". Retrieved 2015-04-06.

External links

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