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bfgsmin

PURPOSE ^

% bfgsmin: bfgs or limited memory bfgs minimization of function

SYNOPSIS ^

function [parameter, obj, convergence, iters] = bfgsmin(f, f_args, control)

DESCRIPTION ^

% bfgsmin: bfgs or limited memory bfgs minimization of function
%
% Usage: [x, obj_value, convergence, iters] = bfgsmin(f, args, control)
%
% The function must be of the form
% [value, return_2,..., return_m] = f(arg_1, arg_2,..., arg_n)
% By default, minimization is w.r.t. arg_1, but it can be done
% w.r.t. any argument that is a vector. Numeric derivatives are
% used unless analytic derivatives are supplied. See bfgsmin_example.m
% for methods.
%
% Arguments:
% * f: name of function to minimize (string)
% * args: a cell array that holds all arguments of the function
%     The argument with respect to which minimization is done
%     MUST be a vector
% * control: an optional cell array of 1-8 elements. If a cell
%   array shorter than 8 elements is provided, the trailing elements
%   are provided with default values.
%     * elem 1: maximum iterations  (positive integer, or -1 or Inf for unlimited (default))
%     * elem 2: verbosity
%         0 = no screen output (default)
%         1 = only final results
%         2 = summary every iteration
%         3 = detailed information
%     * elem 3: convergence criterion
%         1 = strict (function, gradient and param change) (default)
%         0 = weak - only function convergence required
%     * elem 4: arg in f_args with respect to which minimization is done (default is first)
%     * elem 5: (optional) Memory limit for lbfgs. If it's a positive integer
%         then lbfgs will be use. Otherwise ordinary bfgs is used
%     * elem 6: function change tolerance, default 1e-12
%     * elem 7: parameter change tolerance, default 1e-6
%     * elem 8: gradient tolerance, default 1e-5
%
% Returns:
% * x: the minimizer
% * obj_value: the value of f at x
% * convergence: 1 if normal conv, other values if not
% * iters: number of iterations performed
%
% Example: see bfgsmin_example.m

CROSS-REFERENCE INFORMATION ^

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