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

Algorithm 15.2: Torczon algorithm. More...

Go to the source code of this file.

Functions

function torczon (in obj, in x0, in eps, in maxiter)
 Applies Torczon's algorithm to solve $\min_x f(x)$ where $f:\mathbb{R}^n\to\mathbb{R}$. More...
 

Detailed Description

Algorithm 15.2: Torczon algorithm.

Implementation of algorithm 15.2 of [1]

Note
Tested with run1503torczon.m
Author
Michel Bierlaire
Date
Sun Mar 22 10:26:50 2015

Definition in file torczon.m.

Function Documentation

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

Applies Torczon's algorithm to solve $\min_x f(x)$ where $f:\mathbb{R}^n\to\mathbb{R}$.

Parameters
objthe name of the Octave function defining f(x)
x0matrix nx(n+1) containnig the initial simplex
epsalgorithm stops if $\|x_{n+1}-x_1\| \leq \varepsilon $.
maxitermaximum number of iterations (Default: 100)
Returns
[solution,simplex]: the solution and the final simplex.
Copyright 2015-2016 Michel Bierlaire