Header for M.J.D. Powell's NEWUOA method for unconstrained minimization. More...

#include <Eigen/Core>
#include <cassert>
#include <cmath>
#include <cstddef>
#include <cstdio>
#include <cstdlib>
#include <tuple>
#include <type_traits>
#include <utility>

Macros
#define	DEBUG_LOG(what)

Functions
template<class Function >
void	newuoa_detail::biglag (long n, long npt, double xopt, double xpt, double bmat, double zmat, long idz, long ndim, long knew, double delta, double d__, double alpha, double hcol, double gc, double gd, double s, double *w, Function &&function)

void	newuoa_detail::bigden (long n, long npt, double xopt, double xpt, double bmat, double zmat, long idz, long ndim, long kopt, long knew, double d__, double w, double vlag, double beta, double s, double wvec, double *prod)

void	newuoa_detail::trsapp (long n, long npt, double xopt, double xpt, double gq, double hq, double pq, double delta, double step, double d__, double g, double hd, double hs, double crvmin)

void	newuoa_detail::update (long n, long npt, double bmat, double zmat, long idz, long ndim, double vlag, double beta, long knew, double w)

template<class Function >
double	newuoa_detail::newuob (long n, long npt, double x, double rhobeg, double rhoend, long maxfun, double xbase, double xopt, double xnew, double xpt, double fval, double gq, double hq, double pq, double bmat, double zmat, long ndim, double d__, double vlag, double *w, Function &&function)

template<class Function >
double	newuoa_detail::newuoa_impl (Function &&function, long n, long npt, double x, double rhobeg, double rhoend, long maxfun, double w)

template<typename Function >
double	newuoa (Function &&function, long n, long npt, double x, double rhobeg, double rhoend, long maxfun, double w)

template<typename Derived >
void	detail::checkStaticAssertions (Eigen::MatrixBase< Derived > &)
	Checks shared static assertions about vectors to be optimized by NEWUOA.

template<typename Derived >
long	detail::computeReasonableNPT (Eigen::MatrixBase< Derived > &)

template<typename Function , typename Derived >
double	ei_newuoa (long npt, Eigen::MatrixBase< Derived > &x, std::pair< double, double > rho, long maxfun, Function &&f)

template<typename Function , typename Derived >
double	ei_newuoa (Eigen::MatrixBase< Derived > &x, std::pair< double, double > rho, long maxfun, Function &&f)

template<typename Function , typename Derived >
double	ei_newuoa_wrapped (long npt, Eigen::MatrixBase< Derived > &x, std::pair< double, double > rho, long maxfun, Function &&f)

template<typename Function , typename Derived >
double	ei_newuoa_wrapped (Eigen::MatrixBase< Derived > &x, std::pair< double, double > rho, long maxfun, Function &&f)

Detailed Description

Header for M.J.D. Powell's NEWUOA method for unconstrained minimization.

Modified and derived from, in turn:

"elsid newuoa-cpp" - MIT License - https://github.com/elsid/newuoa-cpp
attractivechaos newuoa.hh - MIT license - http://attractivechaos.awardspace.com/newuoa.hh.html and see also https://attractivechaos.wordpress.com/2008/08/24/derivative-free-optimization-dfo/
Powell's original Fortran code distributed without restriction.

In this context, the MIT License refers to the MIT license found here: https://opensource.org/licenses/MIT also known as the "Expat" license.

Definition in file newuoa.h.

Function Documentation

template<typename Function , typename Derived >

double ei_newuoa	(	long	npt,
		Eigen::MatrixBase< Derived > &	x,
		std::pair< double, double >	rho,
		long	maxfun,
		Function &&	f
	)

inline

Friendly wrapper around newuoa: takes a vector for x. The function still takes a pointer to double * and a long n.

Definition at line 1911 of file newuoa.h.

template<typename Function , typename Derived >

double ei_newuoa	(	Eigen::MatrixBase< Derived > &	x,
		std::pair< double, double >	rho,
		long	maxfun,
		Function &&	f
	)

inline

Overload - default value for npt = 2n + 1 Per Powell 2004, m = 2n+1 should be good for efficiency.

Definition at line 1932 of file newuoa.h.

template<typename Function , typename Derived >

double ei_newuoa_wrapped	(	long	npt,
		Eigen::MatrixBase< Derived > &	x,
		std::pair< double, double >	rho,
		long	maxfun,
		Function &&	f
	)

inline

Friendlier wrapper around newuoa: takes a vector for x, and the function takes a reference to const vec

Making a copy so that functors passed can take in just a normal vector const ref, instead of having to accept a ref, etc (since generic lambdas aren't widespread)

Definition at line 1943 of file newuoa.h.

template<typename Function , typename Derived >

double ei_newuoa_wrapped	(	Eigen::MatrixBase< Derived > &	x,
		std::pair< double, double >	rho,
		long	maxfun,
		Function &&	f
	)

inline

Overload - default value for npt = 2n + 1 Per Powell 2004, m = 2n+1 should be good for efficiency.

Definition at line 1965 of file newuoa.h.

Macros

Functions

Detailed Description

Function Documentation