| Title |
"A New Algorithm for Minimization
Without Derivatives" |
| Author(s) |
Mike Powell |
| Abstract |
Let the least value of a given function F(x),
x in R^n, be required. Many iterative algorithms for this calculation
employ quadratic polynomial approximations to F, and, if derivatives
are not available, each approximation may be defined by (n + 1)(n
+ 2)/2 interpolation conditions. Another approach, taken from
gradient methods, is to employ fewer conditions, and to take up
the freedom in a new quadratic approximation by minimizing a measure
of the change from the previous approximation. A technique of
this kind will be presented and discussed. It provides some excellent
numerical results when the number of interpolation equations is
only 2n + 1.
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