Section: Software
Optimization
Participant : Claude Lemaréchal.
Essentially two possibilities exist to distribute our optimization software: library programs (say Modulopt codes), communicated either freely or not, depending on what they are used for, and on the other hand specific software, developed for a given application.
The following optimization codes have been developed in the framework of the former Promath project. They are generally available at http://irabot.inrialpes.fr/raweb.html ; M1QN3 is also distributed under gpl .
Code M1QN3
Optimization without constraints for problems with many variables
(n
103 , has been used for n = 106 ). Technically, uses a limited-memory
bfgs algorithm with Wolfe's line-search (see
Chap. 4 of [2] for the terminology).
Code M2QN1
Optimization with simple bound-constraints for (small) problems: D is a parallelotope in Rn . Uses bfgs with Wolfe's line-search and active-set strategy.
Code N1CV2
Minimization without constraints of a convex nonsmooth function by a proximal bundle method (Chap. XV of [7] , Chap. 9 of [2] ).
Modulopt
In addition to codes such as above, the Modulopt library contains application problems, synthetic or from the real world. It is a field for experimentation, functioning both ways: to assess a new algorithm on a set of test-problems, or to select among several codes one best suited to a given problem.
