COMPASS_SEARCH
The Compass Search Optimization Algorithm

COMPASS_SEARCH is a C++ library which seeks the minimizer of a scalar function of several variables using compass search, a direct search algorithm that does not use derivatives.

The algorithm, which goes back to Fermi and Metropolis, is easy to describe. The algorithm begins with a starting point X, and a step size DELTA.

For each dimension I, the algorithm considers perturbing X(I) by adding or subtracting DELTA.

If a perturbation is found which decreases the function, this becomes the new X. Otherwise DELTA is halved.

The iteration halts when DELTA reaches a minimal value.

The algorithm is not guaranteed to find a global minimum. It can, for instance, easily be attracted to a local minimum. Moreover, the algorithm can diverge if, for instance, the function decreases as the argument goes to infinity.

Licensing:

The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.

Languages:

COMPASS_SEARCH is available in a C version and a C++ version and a FORTRAN77 version and a FORTRAN90 version and a MATLAB version.

Related Data and Programs:

ASA047, a C++ library which minimizes a scalar function of several variables using the Nelder-Mead algorithm.

ENTRUST, a MATLAB program which minimizes a scalar function of several variables using trust-region methods.

NELDER_MEAD, a MATLAB program which minimizes a scalar function of several variables using the Nelder-Mead algorithm.

PRAXIS, a FORTRAN90 library which implements the principal axis method of Richard Brent for minimization of a function without the use of derivatives.

TEST_OPT, a C++ library which defines test problems requiring the minimization of a scalar function of several variables.

TOMS178, a C++ library which optimizes a scalar functional of multiple variables using the Hooke-Jeeves method.

Author:

John Burkardt

Reference:

1. Evelyn Beale,
   On an Iterative Method for Finding a Local Minimum of a Function of More than One Variable,
   Technical Report 25,
   Statistical Techniques Research Group,
   Princeton University, 1958.
2. Richard Brent,
   Algorithms for Minimization without Derivatives,
   Dover, 2002,
   ISBN: 0-486-41998-3,
   LC: QA402.5.B74.
3. Charles Broyden,
   A class of methods for solving nonlinear simultaneous equations,
   Mathematics of Computation,
   Volume 19, 1965, pages 577-593.
4. David Himmelblau,
   Applied Nonlinear Programming,
   McGraw Hill, 1972,
   ISBN13: 978-0070289215,
   LC: T57.8.H55.
5. Tamara Kolda, Robert Michael Lewis, Virginia Torczon,
   Optimization by Direct Search: New Perspectives on Some Classical and Modern Methods,
   SIAM Review,
   Volume 45, Number 3, 2003, pages 385-482.
6. Ken McKinnon,
   Convergence of the Nelder-Mead simplex method to a nonstationary point,
   SIAM Journal on Optimization,
   Volume 9, Number 1, 1998, pages 148-158.
7. Zbigniew Michalewicz,
   Genetic Algorithms + Data Structures = Evolution Programs,
   Third Edition,
   Springer, 1996,
   ISBN: 3-540-60676-9,
   LC: QA76.618.M53.
8. Jorge More, Burton Garbow, Kenneth Hillstrom,
   Testing unconstrained optimization software,
   ACM Transactions on Mathematical Software,
   Volume 7, Number 1, March 1981, pages 17-41.
9. Michael Powell,
   An Iterative Method for Finding Stationary Values of a Function of Several Variables,
   Computer Journal,
   Volume 5, 1962, pages 147-151.
10. Howard Rosenbrock,
    An Automatic Method for Finding the Greatest or Least Value of a Function,
    Computer Journal,
    Volume 3, 1960, pages 175-184.

Source Code:

• compass_search.cpp, the source code.
• compass_search.hpp, the include file.
• compass_search.sh, BASH commands to compile the source code.

Examples and Tests:

• compass_search_prb.cpp, a sample calling program.
• compass_search_prb.sh, BASH commands to compile and run the sample program.
• compass_search_prb_output.txt, the output file.

List of Routines:

• COMPASS_SEARCH carries out a direct search minimization algorithm.
• R8_ABS returns the absolute value of an R8.
• R8VEC_COPY copies an R8VEC.
• R8VEC_PRINT prints an R8VEC.
• TIMESTAMP prints the current YMDHMS date as a time stamp.

You can go up one level to the C++ source codes.