Wedge
Software for Derivativefree Unconstrained Nonlinear Optimization
WEDGE is designed for solving problems in which the objective function
is smooth and the number of variables is moderate, but derivativesare
not available. The method generates a model that interpolates the
objective function at a set of sample points, and uses trust regions to
promote convergence. A geometric constraint (or wedge) aims at keeping
the sample points nondegenerate at each iteration. The code has been developed
at the Optimization Center, a joint venture of Argonne National
Laboratory and Northwestern University.
Downloading and Installing Wedge
This
MATLAB code is freely available for educational or commercial use, but
we expect that all publications describing work using this software quote
the reference given below.
You are welcome to grab the full MATLAB Unix distribution, containing
source code, and instructions.
CLICK HERE TO DOWNLOAD THE WEDGE
DISTRIBUTION FILE
To install, first type
gunzip WEDGE.tar.gz
to produce a file WEDGE.tar. Then, type
tar xvf WEDGE.tar
which creates a subdirectory WEDGE/ and puts the MATLAB code and user guide
in that subdirectory.
Author
Marcelo Marazzi marazzi@ece.northwestern.edu
References

M. Marazzi and J. Nocedal. Wedge trust region methods for derivative free
optimization. Mathematical Programming, Series A 91:289305, 2002