Nlprog (A Set of Fortran Programs to Find the Minimum of a Constrained Function)

摘要

This report describes a FORTRAN IV subroutine, called NLPROG, for solving nonlinear programming problems. The approach is to solve a sequence of subproblems as proposed by Carroll and extended by Fiacco and McCormick. The subproblems are solved by one of four methods, all modifications of documented methods. Two are direct search schemes, the Hooke-Jeeves method and Powell's without derivative method. The third is the quasi-Newton method proposed by Davidon as modified by Fletcher and Powell. The fourth method is Newton's. Some comparative results are given. (Author)