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| Version 1.6. November 2006 |
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The toolbox
contains a number of functions for optimization an data fitting. The selection
of algorithms was guided by the DTU course
02611 Optimization
and Data Fitting,
but the MATLAB functions in the toolbox are expected also
to have wider interest.
To get the toolbox, download immoptibox.zip to the directory, where you save your MATLAB files, use unzip to unpack it, and update your MATLAB path. See history about the changes since the previous version of the toolbox. |
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| Contents | |||||
| 1. Unconstrained optimization | |||||
| 1.1. General optimization | 1.2. Least squares problems | ||||
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dampnewton linesearch ucminf Example |
dogleg marquardt nlshybrid smarquardt Example | ||||
| 2. Constrained optimization | |||||
| 3. Data fitting | |||||
| 3.1. Cubic splines | 3.2. Robust estimation | ||||
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splinefit splineval splinedif Example |
linhuber huberobj Example |
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| 4. Miscellaneous | |||||
| 4.1. Nonlinear systems | 4.2. Auxiliary programs | 4.3. Test problems | |||
| nonlinsys | checkgrad |
uctpget uctpval Example Data sets | |||
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| References | |
| Books | |
| [B1] |
L. Eldén, L. Wittmemeyer-Koch, H.B. Nielsen,
Introduction
to Numerical Computation. Studentlitteratur 2004.
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| Lecture notes | |
| [L1] | P.E. Frandsen, K. Jonasson, H.B. Nielsen, O. Tingleff, Unconstrained Optimization, 3rd Edition. IMM (2004), 79 pages. |
| [L2] | K. Madsen, H.B. Nielsen, O. Tingleff, Optimization with Constraints, 2nd Edition. IMM (2004), 79 pages. |
| [L3] | K. Madsen, H.B. Nielsen, O. Tingleff, Methods for Non-Linear Least Squares Problems, 2nd Edition. IMM, DTU (2004), 60 pages. |
| [L4] | K. Madsen, H.B. Nielsen, Supplementary Notes for 02611 Optimization and Data Fitting, IMM (2005), 61 pages. |
| [L5] |
H.B. Nielsen,
Cubic Splines, IMM (1998), 80 pages.
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| Other references | |
| [1] | K. Madsen, Roots BIT |
| [2] | K. Madsen, H.B. Nielsen, Finite Algorithms for Robust Linear Regression, BIT 30 (1990), 682-699. |
| [3] | H.B. Nielsen, Checking Gradients. IMM (2000), 12 pages. |
| [4] | H.B. Nielsen, Implementation of a Finite Algorithm for Linear L1 Estimation. Report NI 91-01, Institute for Numerical Analysis, DTU. (1991). 49 pages. |
| [5] | H.B. Nielsen, SPLPAK - Pascal and Fortran77 Subprograms for Cubic Splines. Report NI 91-06, Institute for Numerical Analysis, DTU. (1991). 28 pages. |
| [6] | H. B. Nielsen, Computing a Minimizer of a Piecewise Quadratic - Implementation. Report IMM-REP-1998-14, I MM, DTU . (1998), 31 pages. |
| [7] | H. B. Nielsen, Damping Parameter in Marquardt's Method. Report IMM-REP-1999-05, IMM, DTU . (1999), 31 pages. |
| [8] | H. B. Nielsen, Separable NonLinear Least Squares. Report IMM-REP-2000-01, IMM, DTU. (2000), 16 pages. |
| [9] | H. B. Nielsen, Multi-Exponential Fitting of Low-Field 1H NMR Data. Report IMM-REP-2000-03, IMM, DTU. (2000), 30 pages. |
| [10] | H.B. Nielsen, UCTP - Test Problems for Unconstrained Optimization. Report IMM-REP-2000-17, IMM, DTU. (2000), 19 pages. |
| [11] | H.B. Nielsen, UCMINF - an Algorithm for Unconstrained, Nonlinear Optimization. Report IMM-REP-2000-19, IMM, DTU. (2000), 24 pages. |