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 123456789101112131415161718192021222324252627282930313233343536373839404142434445464748495051525354555657585960616263646566676869707172737475767778798081828384858687888990919293949596979899100101102103104105106107108109110111112113114115116117118119120121122123124125126127128129130131132133134135136137138139140141142  GNU Scientific Library – Reference Manual: Minimization Algorithms

35.7 Minimization Algorithms

The minimization algorithms described in this section require an initial interval which is guaranteed to contain a minimum—if a and b are the endpoints of the interval and x is an estimate of the minimum then f(a) > f(x) < f(b). This ensures that the function has at least one minimum somewhere in the interval. If a valid initial interval is used then these algorithm cannot fail, provided the function is well-behaved.

Minimizer: gsl_min_fminimizer_goldensection

The golden section algorithm is the simplest method of bracketing the minimum of a function. It is the slowest algorithm provided by the library, with linear convergence.

On each iteration, the algorithm first compares the subintervals from the endpoints to the current minimum. The larger subinterval is divided in a golden section (using the famous ratio (3-\sqrt 5)/2 = 0.3819660…) and the value of the function at this new point is calculated. The new value is used with the constraint f(a') > f(x') < f(b') to a select new interval containing the minimum, by discarding the least useful point. This procedure can be continued indefinitely until the interval is sufficiently small. Choosing the golden section as the bisection ratio can be shown to provide the fastest convergence for this type of algorithm.

Minimizer: gsl_min_fminimizer_brent

The Brent minimization algorithm combines a parabolic interpolation with the golden section algorithm. This produces a fast algorithm which is still robust.

The outline of the algorithm can be summarized as follows: on each iteration Brent’s method approximates the function using an interpolating parabola through three existing points. The minimum of the parabola is taken as a guess for the minimum. If it lies within the bounds of the current interval then the interpolating point is accepted, and used to generate a smaller interval. If the interpolating point is not accepted then the algorithm falls back to an ordinary golden section step. The full details of Brent’s method include some additional checks to improve convergence.