From octave-sources-request at bevo dot che dot wisc dot edu Fri Apr 19 13:15:47 2002
Subject: Optimization : bfgs and cg_min
From: Etienne Grossmann <etienne at damiao dot isr dot ist dot utl dot pt>
To: octave-sources at bevo dot che dot wisc dot edu
CC: etienne at isr dot ist dot utl dot pt
Date: Fri, 19 Apr 2002 19:18:11 +0100


  Hello,

this is to ask the opinion of Octave-Forge developers and users on
what to do about the optimization functions :

  My opinion is to replace the bfgs.m and nrm.m files so that the new
bfgs() function takes the same parameters as the actual cg_min(), and
remove this last function.

  I have verified on various quadratic programming cases and initial
positions that my modified bfgs2() executes the same algorithm, in the
same time (no extra overhead) as the original bfgs(). In terms of
speed, it is thus much quicker than cg_min(). In terms of flexibility,
it is better than bfgs(), since it can optimize wrt to any (not just
the 1st) argument, and the termination criterion can be tweaked.

  Another difference with the original bfgs(), which may be either an
advantage or a pain, is that it requires the derivatives of the
function to be provided by the user. This is an advantage because, if
a hand-made derivative is available, it can be used instead of the
numerical differentiation. This has the slight disadvantage that, if
you want to use numerical differentiation, you should provide the
function yourself, e.g. with cdiff().

  So, if people who use bfgs() right now do not mind changing the way
this function is called, I think it would be a good idea to substitute
it and remove cg_min.m, which would then be redundant.

  Opinions?

  Cheers,

  Etienne

-- 
Etienne Grossmann ------ http://www.isr.ist.utl.pt/~etienne