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Math Forum / Mathematics / Numerical Analysis / March 2009FORTRAN Source Code for Unconstrained Optimization Problems
I am looking for FORTRAN source code for two related problems. Both involve unconstrained optimization. The applications involve finding the parameter values that maximize the posterior density function (in Bayesian Statistics). For the applications I’m working on, there are no closed form expressions for the parameter estimates. 1. FORTRAN source code that implements a Newton’s method where the Hessian can be computed in closed form. I am looking for a routine that either modifies the step length using for example the Wolfe condition, or implements trust-region based approach. 2. FORTRAN source code that would implement a method such as the Limited-Memory BFGS or some other comparable method for large-scale unconstrained optimization problems. It would be very useful to obtain the source code for these methods so I can incorporate into larger applications I am writing. > I am looking for FORTRAN source code for two related problems. Both > involve unconstrained optimization. The applications involve finding [quoted text clipped - 13 lines] > It would be very useful to obtain the source code for these methods so > I can incorporate into larger applications I am writing. Always worth looking at Netlib (www.netlib.org), TOMS (www.netlib.org/toms) and the Decision Tree for Optimisation (http://plato.asu.edu/guide.html). Whether these have what you want I don't know, but you might get a better response if you satte that you have tried these & not found the relevant codes. > I am looking for FORTRAN source code for two related problems. Both > involve unconstrained optimization. The applications involve finding [quoted text clipped - 13 lines] > It would be very useful to obtain the source code for these methods so > I can incorporate into larger applications I am writing. The book "Numerical Methods and Software" by Kahaner, Moler, and Nash came with a disk that included FORTRAN source code for many programs. In fact, one of the authors, Nash, has also posted source code on his web site at George Mason University: http://iris.gmu.edu/~snash/nash/software/NMS__single/ch09.f FMIN is for one dimensional problems. UNCMIN is for multi-dimensional problems. It uses a quasi-Newton method. Hopefully this helps a bit. These are from the single precision section; he also lists double-precision routines. |
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