4 ms·
There's a family of such methods invented by Michael Powell: https://en.wikipedia.org/wiki/PDFO https://en.wikipedia.org/wiki/PDFO From what i remember, they
by twic 7y ago
There's a family of such methods invented by Michael Powell:
https://en.wikipedia.org/wiki/PDFO https://en.wikipedia.org/wiki/PDFO
From what i remember, they are "trust region" methods, which work by trying to fit a quadratic function to the local neighbourhood, then analytically finding the minimum of that. The clever stuff is in how you form and update the trust region efficiently.
- Enginerrrd 7y agoBoth Powell's and Nelder-mead are often the only thing I can get to work when the optimization is of a quantity derived from integrating a system of differential equations. Not sure why that is.