Unconstrained Optimization Packages

UNCMIN Author Robert B. Schnabel
Department of Computer Science
University of Colorado
Boulder, CO 80309-0430
Phone: (303) 492-7554
E-mail: bobby@cs.colorado.edu
Language FORTRAN
Algorithm Newton or quasi-Newton approach (BFGS).
Input Format  
Modeling Languages link  
Commercial Status free
Platform Any machine with a reasonable amount of memory and a Fortran compiler
Remarks UNCMIN is a modular package based on a Newton or quasi-Newton approach. It allows the user to select from various options for calculating or approximating derivatives and for the step selection strategy. The Hessian matrix may be calculated either analytically or by finite differences (Newton's method) or the BFGS update (quasi-Newton). The gradient vector may be supplied by the user or calculated by finite differences.
Options for step selection include line search, double dogleg trust region, and a hookstep trust region method. Any combination of these options is permitted.
References J. E. Dennis and R. B. Schnabel, Numerical Methods for Unconstrained Optimization and Nonlinear Equations, Prentice Hall, 1983.
R. B. Schnabel, J. E. Koontz, and B. E. Weiss, A modular system of algorithms for unconstrained minimization, ACM Trans. Math. Software 11 (1985), pp. 419--440.