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Optimization

• To: mathgroup at yoda.physics.unc.edu
• Subject: Optimization
• From: H. Scott Roy <hsr at cs.stanford.edu>
• Date: Thu, 15 Apr 93 12:52:26 -0700

I need to optimize functions of ~100 variables and am curious about the  
algorithm used by FindMinimum.  I can only find one relevant sentence in the  
Mathematica book: "FindMinimum works by following the path of steepest descent  
from each point that it reaches."

Steepest descent is a terrible algorithm!  Does anyone know, is FindMinimum  
really being this stupid?  Has anyone implemented a more powerful optimization  
routine?

Scott Roy
Department of Computer Science
Stanford University