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Grocer >> Optimisation > linmin

linmin

line minimization routine

CALLING SEQUENCE

[pout,fout]=linmin(pin,xi,tol,func[,argi1,…,argn])

PARAMETERS

Input

• pin = (kx1) vector of starting values

• xi = (kx1) direction vector

• tol = tolerance

• func = function name string

• argi = arguments passed to func

Output

• a result list with:

  - result('meth') = 'frpr'

  - result('b') = (kx1) minimizing vector

  - result('f') = value of func at solution values

  - result('hess') = hessian at solution values

  - result('iter') = # number of iterations

  - result('flag') = 0 for convergence, 1 for non-convergence

DESCRIPTION

Line minimization routine that performs an ad hoc n-dimensional Golden Section Search for the minimum of a function (Converted from Numerical Recipes book linmin routine) func must take the form func(b,varargin) where:

b = parameter vector (k x 1)

varargin = arguments passed to the function

EXAMPLE

[pin fret] = linmin(pin,xi,tol,func,varargin(:))
 
This command is used in frpr_min to ajust the value of the searched parameter at each iteration.

AUTHOR

Eric Dubois 2002

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