This is Argyn's blog. I comment on topics of my interests such as software, math, finance, and music. Also, I write about local events in Northern Virginia, USA and all things related to Kazakhstan

Thursday, December 10, 2009

Error in Powell Function!

L. C. W. Dixon1 and D. J. Mills1

(1) Numerical Optimisation Centre, University of Hertfordshire, Hatfield, Hertfordshire, England
Abstract It has become customary to compare the performance of unconstrained optimization algorithms on families of extended symmetric test functions. In this paper, results are presented which indicate that the performance of the variable metric algorithm on such functions is greatly distorted by rounding errors that destroy the special nature of these functions. A simple method of overcoming this difficulty is demonstrated, and it confirms the theoretical result that the number of iterations required to solve such problems is independent of the dimension.
Key Words Unconstrained optimization - variable metric methods - quasi-Newton methods - rounding errors

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