Chapter 8: Optimization

IMSL C Math Library

Functions

Unconstrained Minimization

Univariate Function

Using function values only, min_uncon

Using function and first derivative values, min_uncon_deriv

Finds the minimum point of a nonsmooth function
of a single value., min_uncon_golden

Multivariate Function

Using quasi-Newton method, min_uncon_multivar

Nonlinear Least Squares

Using Levenberg-Marquardt algorithm, nonlin_least_squares

Linearly Constrained Minimization

Reads an MPS file containing a linear programming
problem or a quadratic programming problem, read_mps

Solves a linear programming problem, linear_programming

Dense linear programming, lin_prog

Quadratic programming, quadratic_prog

Sparse linear programming, sparse_lin_prog

Sparse quadratic programming, sparse_quadratic_prog

Minimizes a general objective function, min_con_gen_lin

Nonlinear least-squares
with simple bounds on the variables, bounded_least_squares

Nonlinearly Constrained Minimization

Using a sequential equality constrained QP method, constrained_nlp

Service Routines

Divided-finite difference Jacobian jacobian