TOLMIN | Author | M.J.D. Powell
Department of Applied Mathematics and Theoretical Physics, Silver Street, Cambridge CB3 9EW, England |
Language | FORTRAN 77 | |
Algorithm | Successive Quadratic Programming | |
Input Format | ||
Modeling Languages link | ||
Commercial Status | ||
Platform | Any machine with a reasonable amount of memory and a Fortran compiler. | |
Remarks | TOLMIN is dedicated for minimization of a differentiable function of several variables, 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.
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. | |
References | M.J.D. Powell, TOLMIN: A Fortran Package for Linearly Constrained Optimization Calculation, DAMTP, 1989/NA2, June 1989. |