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) |
35.1 Overview
The problem of multidimensional minimization requires finding a point x such that the scalar function,
f(x_1, ..., x_n)
takes a value which is lower than at any neighboring point. For smooth functions the gradient g = \nabla f vanishes at the minimum. In general there are no bracketing methods available for the minimization of n-dimensional functions. The algorithms proceed from an initial guess using a search algorithm which attempts to move in a downhill direction.
Algorithms making use of the gradient of the function perform a one-dimensional line minimisation along this direction until the lowest point is found to a suitable tolerance. The search direction is then updated with local information from the function and its derivatives, and the whole process repeated until the true n-dimensional minimum is found.
Algorithms which do not require the gradient of the function use different strategies. For example, the Nelder-Mead Simplex algorithm maintains n+1 trial parameter vectors as the vertices of a n-dimensional simplex. On each iteration it tries to improve the worst vertex of the simplex by geometrical transformations. The iterations are continued until the overall size of the simplex has decreased sufficiently.
Both types of algorithms use a standard framework. The user provides a high-level driver for the algorithms, 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
Each iteration step consists either of an improvement to the
line-minimisation in the current direction or an update to the search
direction itself. The state for the minimizers is held in a
gsl_multimin_fdfminimizer
struct or a
gsl_multimin_fminimizer
struct.
ISBN 0954612078 | GNU Scientific Library Reference Manual - Third Edition (v1.12) | See the print edition |