Matlab Line Search Routines


GLS, Global Line Search

GLS is a Matlab program for univariate local or global optimization using function values only, implemented as optimization in R^n along a ray x+alp*p (alp>=0). It locates a minimizer along the ray quite accurately.
(As for all methods that use no global or semilocal information, the global optimum may be missed for difficult functions.)

GLS may be used for global coordinate searches by choosing as search direction p a vector with a single nonzero entry.

The required m-files can be downloaded as the gzipped tar file gls4.tar.gz (Matlab 4 version, 10K), gls.tar.gz (Matlab 5 version, 10K).

Note that the program assumes that the function vavalues are finite and not extremely huge. If you cannot avoid huge or infinite function values, apply GLS instead to the function ff(x)=f(x)/(f(x)+c) for a suitable constant c such that the denominator remains positive.


Source: http://www.mat.univie.ac.at/~neum/software/ls/


Global (and Local) Optimization

my home page (http://www.mat.univie.ac.at/~neum)

Arnold Neumaier (Arnold.Neumaier@univie.ac.at)