minimization functions

[Ben Sapp]

I have put some minimization functions I have written on the web at
http://www.neutrino.lanl.gov/~bsapp/octave/minimization.tar.gz  Here is
a list of the functions:

deriv.m  -> numerically calculates 1st,2nd,3rd or 4th derivatives of
O(2) or O(4) of a scalar function.  
  
gradient.m -> numerically calculates the gradient of a multi-variable
function.    

nrm.m  -> Newton-Raphson minimization of a scalar function.  

gs.m -> Golden Section search for a minimum of a scalar function. 

__quasi_func__.m -> Used internally by bfgs and dfp.  This turns the
multi-variable functions you supply bfgs and dfp into a scalar function
along some line determined by the bfgs and dfp algorithm. Then this
scalar function is minimized with nrm.m.

dfp.m -> Davidon-Fletcher-Powell minimization of a multi-variable
function.  

bfgs.m ->  Broyden and company minimization of a multi-variable
function.  

dfp and bfgs both need some improvement.   They never re-calculate the
inverse hessian.  This makes them somewhat slow when the hessian changes
drastically.  I will eventually have them do this.   They also do not
check the arguements supplied for sanity.  

I hope these are useful.   

-- 
Ben Sapp                         Los Alamos National Laboratory
email: <mailto:address@hidden>   Phone: (505)667-3277
Fax:   (505)665-7920             URL:   http://www.neutrino.lanl.gov/
--



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