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4.3.7.1. Powell Algorithm

The Powell[1]algorithm searches for local minimum of an objective function for a set of linearly independent direction vectors without the knowledge of the derivatives. It is one of several algorithms classified as conjugate direction methods.

The implementation in Analyst is based on the description found in Numerical Recipes in C[2]. It makes use of Brent's[3] method for line minimization.

Analyst exposes several parameters for the Powell algorithm:



[1] M.J.D. Powell, "An efficient method for finding the minimum of a function of several variables without calculating derivatives," Compute J., vol. 7, pp. 155-162, July 1964

[2] William H. Press, Saul A. Teukolsky, William T. Vetterling, Brian P. Flannery, Numerical Recipes in C: the Art of Scientific Computing, 2nd edition, Cambridge Univ. Press, N.Y., 1992.

[3] Brent, R.P. 1973, Algorithms for Minimization without Derivatives (Eaglewood Cliffs, NJ: Prentice-Hall), Chapter 7.

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