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Re: multidimensional optimization


Cool, that sounds great.  Diffs against the current CVS tree would be
the cleanest method. If you could put them on a web page and send the
url that will avoid overloading the list. Any problems/questions - let
me know. Thanks.

Fabrice Rossi writes:
 > Hi.
 >  I've finished a preliminary, buggy, alpha (etc.) version of the
 > multidimensional optimization part of GSL I've proposed to code
 > last month.  I'm not at all asking for inclusion, but for
 > review. The question is how should I make the code available? I've
 > added a new directory (multmin) which can be released as a tar
 > file, but I've also a patch to the min directory (basically a
 > bracketing algorithm).
 >  The implementation follows the general idea discussed in the
 > list. Basically, I've targeted descent algorithms, i.e., algorithms
 > in which one performs a one dimensional minimization along a
 > direction given by the algorithm (the gradient for steepest descent
 > for instance). As suggested by Brian Gough, the line search (one
 > dimensional minimization) is not at all embedded into the global
 > algorithm. In fact, the algorithm produces a direction and updates
 > a structure that allows to view the multidimensional function as a
 > one dimensional one. The pseudo loop is therefore:
 >  init do
 > 	compute next direction (d)
 > 	find an initial bracketing for line search
 > 	init 1d minimization
 > 	do
 > 		loop for 1d min
 > 	perform the step (i.e. replace x by x+ed, where e is the
 > minimum of g(e)=f(x+ed)
 > 	check for convergence
 >  I've tried to follow the structure of the multiroots package check
 > in by Brian. As a side effect, I've used gsl_vector everywhere.
 >  Fabrice Rossi
 >

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