NESC0753 OCOPTR,DRVOCR
OCOPTR, Minimization of Nonlinear Function, Variable Metric Method, Derivative Calculation
DRVOCR, Minimization of Nonlinear Function, Variable Metric Method, Derivative Calculation
NAME OR DESIGNATION OF PROGRAM, COMPUTER, DESCRIPTION OF PROBLEM OR FUNCTION, METHOD OF SOLUTION, RESTRICTIONS ON THE COMPLEXITY OF THE PROBLEM, TYPICAL RUNNING TIME, UNUSUAL FEATURES OF THE PROGRAM, RELATED AND AUXILIARY PROGRAMS, STATUS, REFERENCES, MACHINE REQUIREMENTS, LANGUAGE, OPERATING SYSTEM UNDER WHICH PROGRAM IS EXECUTED, OTHER PROGRAMMING OR OPERATING INFORMATION OR RESTRICTIONS, NAME AND ESTABLISHMENT OF AUTHOR, MATERIAL, CATEGORIES
[ top ]
[ top ]
To submit a request, click below on the link of the version you wish to order.
Only liaison officers are authorised to submit online requests. Rules for requesters are
available here.
| Program name | Package id | Status | Status date |
|---|---|---|---|
| OCOPTR | NESC0753/01 | Tested | 01-OCT-1979 |
Machines used:
| Package ID | Orig. computer | Test computer |
|---|---|---|
| NESC0753/01 | IBM 370 series | IBM 370 series |
[ top ]
3. DESCRIPTION OF PROBLEM OR FUNCTION
OCOPTR and DRVOCR are computer programs designed to find minima of non-linear differentiable functions f: R**n--->R with n dimensional domains.
OCOPTR requires that the user only provide function values (i.e. it is a derivative-free routine). DRVOCR requires the user to supply both function and gradient information.
OCOPTR and DRVOCR are computer programs designed to find minima of non-linear differentiable functions f: R**n--->R with n dimensional domains.
OCOPTR requires that the user only provide function values (i.e. it is a derivative-free routine). DRVOCR requires the user to supply both function and gradient information.
[ top ]
4. METHOD OF SOLUTION
OCOPTR and DRVOCR use the variable metric (or quasi-Newton) method of Davidon (1975). For OCOPTR, the derivatives are estimated by finite differences along a suitable set of linearly independent directions. For DRVOCR, the derivatives are user- supplied. Some features of the codes are the storage of the approximation to the inverse Hessian matrix in lower trapezoidal factored form and the use of an optimally-conditioned updating method. Linear equality constraints are permitted subject to the initial Hessian factor being chosen correctly.
OCOPTR and DRVOCR use the variable metric (or quasi-Newton) method of Davidon (1975). For OCOPTR, the derivatives are estimated by finite differences along a suitable set of linearly independent directions. For DRVOCR, the derivatives are user- supplied. Some features of the codes are the storage of the approximation to the inverse Hessian matrix in lower trapezoidal factored form and the use of an optimally-conditioned updating method. Linear equality constraints are permitted subject to the initial Hessian factor being chosen correctly.
[ top ]
[ top ]
[ top ]
[ top ]
[ top ]
10. REFERENCES
- W.C. Davidon:
Optimally Conditioned Optimization Algorithms without Line
Searches
Mathematical Programming, Vol. 9, pp. 1-30, 1975.
- W.C. Davidon:
Optimally Conditioned Optimization Algorithms without Line
Searches
Mathematical Programming, Vol. 9, pp. 1-30, 1975.
NESC0753/01, included references:
- W.C. Davidon, L. Nazareth:OCOPTR - A Derivative Free FORTRAN Implementaion of Davidon's
Optimally Conditioned Method
TM-303 (August 1977).
- W.C. Davidon, L. Nazareth:
DRVOCR - A FORTRAN Implementaion of Davidon's Optimally
Conditioned Method
TM-306 (August 1977).
[ top ]
[ top ]
[ top ]
[ top ]
[ top ]
NESC0753/01
| File name | File description | Records |
|---|---|---|
| NESC0753_01.001 | OCOPTR (DRV. FREE ROUTINE) SOURCE (F4) | 1274 |
| NESC0753_01.002 | OCOPTR USER'S ROUTINE (F4,EBCDIC) | 130 |
| NESC0753_01.003 | OCOPTR SAMPLE OUTPUT | 99 |
| NESC0753_01.004 | DRVOCR (DRV. ROUTINE) SOURCE (F4,EBCDIC) | 1236 |
| NESC0753_01.005 | DRVOCR USER'S ROUTINE (F4,EBCDIC) | 134 |
| NESC0753_01.006 | DRVOCR SAMPLE OUTPUT | 96 |
Keywords: finite difference method, nonlinear problems, optimization.