 | ||
TOLMIN is a numerical optimization algorithm by Michael J. D. Powell. It is also the name of Powell's Fortran 77 implementation of the algorithm.
TOLMIN seeks the minimum of a differentiable nonlinear function subject to linear constraints (equality and/or inequality) and simple bounds on variables. Each search direction is calculated so that it does not intersect the boundary of any inequality constraint that is satisfied and that has a "small" residual at the beginning of the line search. The meaning of "small" depends on a parameter called TOL which is automatically adjusted, and which gives the name of the software.
Features of the software include: quadratic approximations of the objective function whose second derivative matrices are updated by means of the BFGS formula, active sets technique, primal-dual quadratic programming procedure for calculation of the search direction.
The TOLMIN software is distributed under The GNU Lesser General Public License (LGPL).