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Unconstrained Optimization Problems Toolbox >> Unconstrained Optimization Problems Toolbox > Overview

Overview

An overview of the Unconstrained Optimization Problems toolbox.

Purpose

The goal of this toolbox is to provide unconstrained optimization problems in order to test optimization algorithms.

The More, Garbow and Hillstrom collection of test functions (1981) is widely used in testing unconstrained optimization software. The code for these problems is available in Fortran from the netlib software archives.

In 1993, Victoria Z. Averbukh, Samuel A. Figueroa, Tamar Schlick implemented a Fortran routine to compute the Hessian matrix for 18 test functions.

The port from Fortran to Matlab was done in 1994 by two undergraduate students at Brooklyn College, Livia Klein and Madhu Lamba, under the supervision of Chaya Gurwitz.

Benoit Hamelin did the port from Matlab to Scilab v4 in 2000-2004 with m2sci and did some manual tuning of the result.

Michael Baudin did the port from Scilab v4 to Scilab v5. I renamed the functions to avoid naming conflicts. I formatted the help pages to generate automatically the xml from the sources. I added Brown Almost-Linear function. I fixed gradient of problem #31 : Broyden Banded. I created the getopt function to retrieve fopt and xopt when available. I created the getclass function to retrieve collections of problems for least squares, nonlinear equations or unconstrained optimization. I vectorized several functions to improve performance. I created the gethesfcn function to retrieve the hessian and translated from Fortran to Scilab the HESFCN routine. I created finite difference functions getgrdfd, getjacfd and gethesfd in order to compare with exact derivatives. Exact gradients and exact Hessians, when available, are checked by finite differences.

Design

Most users should focus on the uncprb_get* functions. Given a problem number, these functions allows to get or compute all the necessary informations. The following table presents the available problems.

Features

The current component has the following features :

DONE

TODO

Authors

Bibliography

"Algorithm 566: FORTRAN Subroutines for Testing Unconstrained Optimization Software" ACM Transactions on Mathematical Software (TOMS), Volume 7 , Issue 1, March 1981, Pages: 136 - 140, J. J. Moré, Burton S. Garbow, Kenneth E. Hillstrom

"HESFCN - A Fortran Package Of Hessian Subroutines For Testing Nonlinear Optimization Software", Victoria Averbukh, Samuel Figueroa and Tamar Schlick, Courant Institue Of Mathematical Sciences

http://www.dmi.usherb.ca/~hamelin/autodiff/html/sciad_en.html

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