Poblano Toolbox for MATLAB
Copyright 2009 National Technology & Engineering Solutions of Sandia, LLC (NTESS). Under the terms of Contract DE-NA0003525 with NTESS, the U.S. Government retains certain rights in this software.
Poblano is a Matlab toolbox of large-scale algorithms for unconstrained nonlinear optimization problems. The algorithms in Poblano require only first-order derivative information (e.g., gradients for scalar-valued objective functions), and therefore can scale to very large problems. The driving application for Poblano development has been tensor decompositions in data analysis applications (bibliometric analysis, social network analysis, chemometrics, etc.).
Poblano optimizers find local minimizers of scalar-valued objective functions taking vector inputs. The gradient (i.e., first derivative) of the objective function is required for all Poblano optimizers. The optimizers converge to a stationary point where the gradient is approximately zero. A line search satisfying the strong Wolfe conditions is used to guarantee global convergence of the Poblano optimizers. The optimization methods in Poblano include several nonlinear conjugate gradient methods (Fletcher-Reeves, Polak-Ribiere, Hestenes-Stiefel), a limited-memory quasi-Newton method using BFGS updates to approximate second-order derivative information, and a truncated Newton method using finite differences to approximate second-order derivative information.