Numerical Optimization

Numerical Optimization is a C++ library for executing and testing different unconstrained optimisation algorithms. The project is based on Vilin written in MATLAB. Although this library is standalone, the idea is to eventually delegate heavy Vilin computation directly to C++ to speed it up.

Vilin, a MATLAB GUI application for Numerical optimization

https://github.com/markomil/vilin-numerical-optimization

Optimization Methods

• Gradient
  • Gradient Descent
  • Momentum
• Conjugate Gradient
  • Fletcher-Reeves
  • Polak-Ribiere
  • Hestenes-Stiefel
  • Dai-Yuan
  • CG Descent
• Quasi Newton
  • SR1
  • DFP
  • BFGS
  • L-BFGS

Line Search methods

• Fixed Step Size
• Binary
• Armijo
• Goldstein
• Wolfe
• Strong Wolfe
• Approx. Wolfe

Authors

• Ivan Stosic - ivan100sic@gmail.com
• Igor Stosic - igor.stosic@pmf.edu.rs
• Lazar Stamenkovic - lazar.stamenkovic@pmf.edu.rs