GNU Scientific Library Reference Manual - Third Edition (v1.12) by M. Galassi, J. Davies, J. Theiler, B. Gough, G. Jungman, P. Alken, M. Booth, F. Rossi Paperback (6"x9"), 592 pages, 60 figures ISBN 0954612078 RRP £24.95 ($39.95) Get a printed copy>>>

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33.1 Overview

The minimization algorithms begin with a bounded region known to contain a minimum. The region is described by a lower bound a and an upper bound b, with an estimate of the location of the minimum x.

The value of the function at x must be less than the value of the function at the ends of the interval,

f(a) > f(x) < f(b)

This condition guarantees that a minimum is contained somewhere within the interval. On each iteration a new point x' is selected using one of the available algorithms. If the new point is a better estimate of the minimum, i.e. where f(x') < f(x), then the current estimate of the minimum x is updated. The new point also allows the size of the bounded interval to be reduced, by choosing the most compact set of points which satisfies the constraint f(a) > f(x) < f(b). The interval is reduced until it encloses the true minimum to a desired tolerance. This provides a best estimate of the location of the minimum and a rigorous error estimate.

Several bracketing algorithms are available within a single framework. The user provides a high-level driver for the algorithm, and the library provides the individual functions necessary for each of the steps. There are three main phases of the iteration. The steps are,

• initialize minimizer state, s, for algorithm T
• update s using the iteration T
• test s for convergence, and repeat iteration if necessary

The state for the minimizers is held in a gsl_min_fminimizer struct. The updating procedure uses only function evaluations (not derivatives).