Optimization: principles and algorithms, by Michel Bierlaire
Functions
newtonLocal.m File Reference

Algorithm 10.1: Local Newton for optimization. More...

Go to the source code of this file.

Functions

function newtonLocal (in obj, in x0, in eps, in maxiter)
 Applies local Newton algorithm to solve $\nabla f(x)=0$ where $\nabla f:\mathbb{R}^n\to\mathbb{R}^n $ is the gradient of the objective function. More...
 

Detailed Description

Algorithm 10.1: Local Newton for optimization.

Implementation of algorithm 10.1 of [1]

Author
Michel Bierlaire
Date
Fri Mar 20 15:41:01 2015

Definition in file newtonLocal.m.

Function Documentation

function newtonLocal ( in  obj,
in  x0,
in  eps,
in  maxiter 
)

Applies local Newton algorithm to solve $\nabla f(x)=0$ where $\nabla f:\mathbb{R}^n\to\mathbb{R}^n $ is the gradient of the objective function.

Note
Tested with run0508.m
Parameters
objthe name of the Octave function defining $\nabla f(x)$ and the hessian $\nabla^2 f(x)$
x0the starting point
epsalgorithm stops if $\|F(x)\| \leq \varepsilon $.
maxitermaximum number of iterations (Default: 100)
Returns
[solution,f]
solution: root of the function
f: value of F at the solution
Copyright 2015-2016 Michel Bierlaire