Vilin

Matlab GUI application for Numerical optimization

Vilin is a GUI framework for executing and testing different unconstrained optimization algorithms in programming package Matlab. The application contains a library of various test functions with pre-defined starting points. A several known classes of methods as well as different classes of line search procedures are covered. Each method can be combined with variety of appropriate line search procedures and tested on each test function with a chosen number of parameters. Vilin is easily extensible and contains simple API for adding new functions, methods and line searches. The application is tested and can be run on both windows and linux operating system.

To run the application just execute vilin.m.

Methods

• Methods are divided in six groups based on their nature and characteristics. Currently implemented methods:

  • Conjugate Gradient
    • CG_Descent
    • Dai-Yuan
    • Fletcher-Reeves
    • Hestenes-Stiefel
    • Polak-Ribiere
  • Gradient Descent
    • Barzilai-Borwein
    • GradientLineSearch - classical gradient descent with line search
    • ScalarCorrection
  • Modified Newton
    • Goldstein-Price
    • Levenberg
    • Levenberg-Marquardt
  • Newton
    • NewtonLineSearch - basic Newton's method with line search
  • Quasi Newton
    • BFGS
    • DFP
    • L_BFGS
    • SR1
  • Trust Region
    • dogleg
    • doglegSR1

• Currently implemented line search methods

  • Approximate Wolfe
  • Armijo (two versions, with interpolation and backtracking)
  • CorrPrevIter
  • CorrPrevTwoIter
  • FixedStepSize
  • Goldstein
  • More-Thuente
  • Non-monotone
  • StrongWolfe
  • Wolfe

Adding new methods

Methods are located in folder Methods/MultiDimensional'. Each method group has separate subfolder. To add new method modify Methods template and save to appropriate group folder (or create new).

Adding new line search methods

Line search methods are located in folder Methods/MultiDimensional/LineSearch'. To add new line search method modify Line search template and save to Methods/MultiDimensional/LineSearch' folder.

Adding new functions

Functions are located in folder Functions/MultiDimensional'. To add new function modify Functions template and save to Functions/MultiDimensional' folder.