Re: optimization

[Heber Farnsworth]

Octave is just beginning to have optimization routines.  The ones I use
are written for matlab but not part of matlab.  If it is unconstrained
problems you are interested in then I recommend the direct search
algorithms in the Test Matrix toolbox which Nick Higham puts on his home
page at

        http://www.ma.man.ac.uk/~higham/testmat.html

The files you are interested in are called adsmax.m nmsmax.m and
mdsmax.m.  These methods do not calculate gradients so they may not be
as fast as a BFGS type method (when you know the gradient) but they get
confused less often.  

Of course is may depend on your problem.  Is the function you want to
optimize concave?  If so the fastest way to get a solution is to use
fsolve and set the gradient to zero.  For a concave (convex) function
this gives the maximum (minimum).

If you are intested in constrained problems then I would use solnp from 

        http://dollar.biz.uiowa.edu/col/ye/matlab.html

which is quite good.  It is a minimizer I believe so you'll want to
minimize -f(x) rather in order to maximize f(x).

Heber Farnsworth

James Yang wrote:
> 
> Dear octave users:
> 
> I have little exparience in matlab and new to octave. I tried to find a
> function for optimization. For example, I have a function, say
>         f(x) = x^2 + 2*x + 5
> and I want to find x0 s.t. f(x0) is maximized. I know I can use binary
> serch. Does any one know if there is any function and how to use it?
> This may be a trival question but it will be of great help to me. Thanks
> in advance.
> 
> --
> James Yang
> 212 Griffin-Floyd Hall, P.O. Box 118545
> Department of Statistics, University of Florida
> Gainesville, FL 32611
> 
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-- 
_______________________________________________________________________________
Heber Farnsworth
Assistant Professor of Finance
John M. Olin School of Business
Washington University
Campus Box 1133                                 phone: (314) 935-4221   
One Brookings Drive                             FAX: (314) 935-6359
St. Louis, MO 63130-4899



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