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adsmax

PURPOSE ^

ADSMAX Alternating directions method for direct search optimization.

SYNOPSIS ^

function [x, fmax, nf] = adsmax(f, x, stopit, savit, P, varargin)

DESCRIPTION ^

ADSMAX  Alternating directions method for direct search optimization.
        [x, fmax, nf] = ADSMAX(FUN, x0, STOPIT, SAVIT, P) attempts to
        maximize the function FUN, using the starting vector x0.
        The alternating directions direct search method is used.
        Output arguments:
               x    = vector yielding largest function value found,
               fmax = function value at x,
               nf   = number of function evaluations.
        The iteration is terminated when either
               - the relative increase in function value between successive
                 iterations is <= STOPIT(1) (default 1e-3),
               - STOPIT(2) function evaluations have been performed
                 (default inf, i.e., no limit), or
               - a function value equals or exceeds STOPIT(3)
                 (default inf, i.e., no test on function values).
        Progress of the iteration is not shown if STOPIT(5) = 0 (default 1).
        If a non-empty fourth parameter string SAVIT is present, then
        `SAVE SAVIT x fmax nf' is executed after each inner iteration.
        By default, the search directions are the co-ordinate directions.
        The columns of a fifth parameter matrix P specify alternative search
        directions (P = EYE is the default).
        NB: x0 can be a matrix.  In the output argument, in SAVIT saves,
            and in function calls, x has the same shape as x0.
        ADSMAX(fun, x0, STOPIT, SAVIT, P, P1, P2,...) allows additional
        arguments to be passed to fun, via feval(fun,x,P1,P2,...).

CROSS-REFERENCE INFORMATION ^

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