This provides a C implementation of Mike Powell's NEWUOA 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 NEWUOA software for unconstrained minimization without derivatives", in Large-Scale Nonlinear Optimization, editors G. Di Pillo and M. Roma, Springer (2006), pages 255-297.
NEWUOA 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, NEWUOA is expected to be
more efficient than COBYLA (which exploits a more simple linear model but
implements arbitrary inequality constraints while NEWUOA is unconstrained).
If you have bound constraints, you may consider using BOBYQA instead.
In addition to being usable from C code, this version of NEWUOA 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 NEWUOA is possible);
-
a return code indicates the success of the method or the reason of the failure;
-
reverse communication version of the algorithm is also provided, this version is exploited by the Yorick plgin in directory
yorick; -
no warnings about variables being uninitialized.
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.
The code consists in two files newuoa.c and newuoa.h
and is documented in the header newuoa.h.
To build the library, edit the Makefile to suit your preferences and
do:
make
Then copy libnewuoa.a and newuoa.h to appropriate directories.
A number of macros can defined for the compiler to adapt the type of variables
used in the code (see newuoa.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
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.