Software by Professor M. J. D. Powell
Professor M. J. D.
Powell
kindly authorizes me to provide his software on this page.
COBYLA (Constrained Optimization BY Linear Approximations),
an algorithm that seeks the least value of a nonlinear function
subject to nonlinear inequality constraints, without using derivatives of the
objective function or the constraints.
Implemented in fortran 77 (single precision only).
Released on May 7, 1992.
[paper]
[wikipedia]
NEWUOA, an algorithm that solves unconstrained optimization
problems without using derivatives.
Developed from UOBYQA (Unconstrained Optimization BY Quadratic Approximation,
Powell, 2000).
Implemented in fortran 77.
Released on Dec. 16, 2004.
[paper]
[wikipedia]
BOBYQA (Bound Optimization BY Quadratic Approximation),
an algorithm that seeks the least value of a nonlinear function
subject to bound constraints, without using derivatives of the objective function.
Implemented in fortran 77.
Released on Jan. 5, 2009.
[paper]
[wikipedia]
LINCOA (LINearly Constrained Optimization Algorithm),
an algorithm that seeks the least value of a nonlinear function
subject to linear inequality constraints, without using
derivatives of the objective function.
Implemented in fortran 77.
Released on Dec. 6, 2013.
[paper]
[wikipedia]
If you have problems in downloading,
please feel free to contact me; for any question
on the code or the algorithms, please contact Professor
Powell (mjdp [&] cam.ac.uk).
Subroutines by myself
Here are some subroutines by me. They are written in the
hope that they will be helpful, but there is no guarantee that they will work
properly. They probably call some subroutines that are not provided here.
In that case I try to instruct in the comments how to obtain those subroutines.
Optimization
Numerical linear algebra
