Derivative-Free optimization algorithms. These algorithms do not require gradient information. More importantly, they can be used to solve non-smooth optimization problems. They can also handle box constraints on parameters.
Package: | dfoptim |
Type: | Package |
Version: | 2016.7-1 |
Date: | 2016-07-08 |
License: | GPL-2 or greater |
LazyLoad: | yes |
Derivative-Free optimization algorithms. These algorithms do not require gradient information. More importantly, they can be used to solve non-smooth optimization problems. These algorithms were translated from the Matlab code of Prof. C.T. Kelley, given in his book "Iterative methods for optimization". However, there are some non-trivial modifications of the algorithm.
Currently, the Nelder-Mead and Hooke-Jeeves algorithms is implemented. In future, more derivative-free algorithms may be added.
C.T. Kelley (1999), Iterative Methods for Optimization, SIAM.