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C version of BOBYQA

This provides a C implementation of Mike Powell's BOBYQA algorithm for minimizing a function of many variables. The method is derivatives free (only the function values are needed) and accounts for bound constraints on the variables. The algorithm is described in:

M.J.D. Powell, "The BOBYQA Algorithm for Bound Constrained Optimization Without Derivatives." Technical report, Department of Applied Mathematics and Theoretical Physics, University of Cambridge (2009).

BOBYQA builds a quadratic model of the objective function from much less than (N+1)(N+2)/2 values of the function (with N the number of variables). The recommended number of points for building the quadratic model is 2*N+1. For smooth objective functions, BOBYQA is expected to be more efficient than COBYLA (which exploits a more simple linear model but implements arbitrary inequality constraints).

In addition to being usable from C code, this version of BOBYQA has a few improvements over the FORTRAN version:

  • any objective function can be used (the function is an argument of the method) so different objective functions can co-exist in the same code (e.g. hierarchical optimization with BOBYQA is possible);

  • a return code indicates the success of the method or the reason of the failure.

Of course, this version produces the same output for the tests and it has a more C-like interface compared to a version produced by f2c. A FORTRAN wrapper is available.

Usage

The code consists in two files bobyqa.c and bobyqa.h and is documented in the header bobyqa.h.

To build the library, edit the Makefile to suit your preferences and do:

make

Then copy libbobyqa.a and bobyqa.h to appropriate directories.

A number of macros can defined for the compiler to adapt the type of variables used in the code (see bobyqa.h for details).

You may check the code (this requires the original FORTRAN code available from Mike Powell on request at [email protected]):

make test

Legal notice

The present code is based on the original FORTRAN version written by Mike Powell who kindly provides his code on demand (at [email protected]) and has been converted to C by É. Thiébaut.

Copyright (c) 2009, Mike Powell (FORTRAN version).

Copyright (c) 2015, Éric Thiébaut (C version).

Read the accompanying LICENSE file for details.