Mercurial > forge
diff main/optim/inst/nmsmax.m @ 9930:d30cfca46e8a octave-forge
optim: upgrade license to GPLv3+ and mention on DESCRIPTION the other package licenses
author | carandraug |
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date | Fri, 30 Mar 2012 15:14:48 +0000 |
parents | b11b5363d680 |
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--- a/main/optim/inst/nmsmax.m Fri Mar 30 15:02:12 2012 +0000 +++ b/main/optim/inst/nmsmax.m Fri Mar 30 15:14:48 2012 +0000 @@ -1,46 +1,59 @@ -function [x, fmax, nf] = nmsmax(fun, x, stopit, savit, varargin) -%NMSMAX Nelder-Mead simplex method for direct search optimization. -% [x, fmax, nf] = NMSMAX(FUN, x0, STOPIT, SAVIT) attempts to -% maximize the function FUN, using the starting vector x0. -% The Nelder-Mead direct search method is used. -% Output arguments: -% x = vector yielding largest function value found, -% fmax = function value at x, -% nf = number of function evaluations. -% The iteration is terminated when either -% - the relative size of the simplex is <= STOPIT(1) -% (default 1e-3), -% - STOPIT(2) function evaluations have been performed -% (default inf, i.e., no limit), or -% - a function value equals or exceeds STOPIT(3) -% (default inf, i.e., no test on function values). -% The form of the initial simplex is determined by STOPIT(4): -% STOPIT(4) = 0: regular simplex (sides of equal length, the default) -% STOPIT(4) = 1: right-angled simplex. -% Progress of the iteration is not shown if STOPIT(5) = 0 (default 1). -% STOPIT(6) indicates the direction (ie. minimization or -% maximization.) Default is 1, maximization. -% set STOPIT(6)=-1 for minimization -% If a non-empty fourth parameter string SAVIT is present, then -% `SAVE SAVIT x fmax nf' is executed after each inner iteration. -% NB: x0 can be a matrix. In the output argument, in SAVIT saves, -% and in function calls, x has the same shape as x0. -% NMSMAX(fun, x0, STOPIT, SAVIT, P1, P2,...) allows additional -% arguments to be passed to fun, via feval(fun,x,P1,P2,...). +%% Copyright (C) 2002 N.J.Higham +%% Copyright (C) 2003 Andy Adler <adler@ncf.ca> +%% +%% This program is free software; you can redistribute it and/or modify it under +%% the terms of the GNU General Public License as published by the Free Software +%% Foundation; either version 3 of the License, or (at your option) any later +%% version. +%% +%% This program is distributed in the hope that it will be useful, but WITHOUT +%% ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or +%% FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more +%% details. +%% +%% You should have received a copy of the GNU General Public License along with +%% this program; if not, see <http://www.gnu.org/licenses/>. + +%%NMSMAX Nelder-Mead simplex method for direct search optimization. +%% [x, fmax, nf] = NMSMAX(FUN, x0, STOPIT, SAVIT) attempts to +%% maximize the function FUN, using the starting vector x0. +%% The Nelder-Mead direct search method is used. +%% Output arguments: +%% x = vector yielding largest function value found, +%% fmax = function value at x, +%% nf = number of function evaluations. +%% The iteration is terminated when either +%% - the relative size of the simplex is <= STOPIT(1) +%% (default 1e-3), +%% - STOPIT(2) function evaluations have been performed +%% (default inf, i.e., no limit), or +%% - a function value equals or exceeds STOPIT(3) +%% (default inf, i.e., no test on function values). +%% The form of the initial simplex is determined by STOPIT(4): +%% STOPIT(4) = 0: regular simplex (sides of equal length, the default) +%% STOPIT(4) = 1: right-angled simplex. +%% Progress of the iteration is not shown if STOPIT(5) = 0 (default 1). +%% STOPIT(6) indicates the direction (ie. minimization or +%% maximization.) Default is 1, maximization. +%% set STOPIT(6)=-1 for minimization +%% If a non-empty fourth parameter string SAVIT is present, then +%% `SAVE SAVIT x fmax nf' is executed after each inner iteration. +%% NB: x0 can be a matrix. In the output argument, in SAVIT saves, +%% and in function calls, x has the same shape as x0. +%% NMSMAX(fun, x0, STOPIT, SAVIT, P1, P2,...) allows additional +%% arguments to be passed to fun, via feval(fun,x,P1,P2,...). +%% References: +%% N. J. Higham, Optimization by direct search in matrix computations, +%% SIAM J. Matrix Anal. Appl, 14(2): 317-333, 1993. +%% C. T. Kelley, Iterative Methods for Optimization, Society for Industrial +%% and Applied Mathematics, Philadelphia, PA, 1999. % From Matrix Toolbox % Copyright (C) 2002 N.J.Higham % www.maths.man.ac.uk/~higham/mctoolbox -% distributed under the terms of the GNU General Public License -% % Modifications for octave by A.Adler 2003 -% $Id$ -% References: -% N. J. Higham, Optimization by direct search in matrix computations, -% SIAM J. Matrix Anal. Appl, 14(2): 317-333, 1993. -% C. T. Kelley, Iterative Methods for Optimization, Society for Industrial -% and Applied Mathematics, Philadelphia, PA, 1999. +function [x, fmax, nf] = nmsmax(fun, x, stopit, savit, varargin) x0 = x(:); % Work with column vector internally. n = length(x0);