A New Algorithm for Minimization without Derivatives

Prof. M. J. D. Powell
Department of Applied Mathematics and Theoretical Physics, University of Cambridge, UK

11:30 - 12:30
Tuesday, 6th March, 2007
RRS 905

Abstract:
The development of this subject during the last 50 years was surveyed by the author in the William Benter Lecture at City University on February 7th. His recent research on unconstrained minimization that provided the NEWUOA algorithm was mentioned briefly. The main ideas of this algorithm with an extension that allows bounds on the variables will be described. Quadratic models are employed that are derived from a small number of interpolation conditions. Some numerical results will show the efficiency that is achieved.