Algorithm XXX: QNSTOP—Quasi-Newton Algorithm for Stochastic Optimization

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dc.contributor.authorAmos, Brandon D.en
dc.contributor.authorEasterling, David R.en
dc.contributor.authorWatson, Layne T.en
dc.contributor.authorThacker, William I.en
dc.contributor.authorCastle, Brent S.en
dc.contributor.authorTrosset, Michael W.en
dc.contributor.departmentComputer Scienceen
dc.date.accessioned2014-07-24T14:43:03Zen
dc.date.available2014-07-24T14:43:03Zen
dc.date.issued2014-07-01en
dc.description.abstractQNSTOP consists of serial and parallel (OpenMP) Fortran 2003 codes for the quasi-Newton stochastic optimization method of Castle and Trosset. For stochastic problems, convergence theory exists for the particular algorithmic choices and parameter values used in QNSTOP. Both the parallel driver subroutine, which offers several parallel decomposition strategies, and the serial driver subroutine can be used for stochastic optimization or deterministic global optimization, based on an input switch. QNSTOP is particularly effective for “noisy” deterministic problems, using only objective function values. Some performance data for computational systems biology problems is given.en
dc.description.sponsorshipAir Force Research Laboratory Grant FA8650-09-2-3938en
dc.description.sponsorshipAir Force Office of Scientific Research Grant FA9550-09-1-0153en
dc.identifier.trnumberTR-14-02en
dc.identifier.urihttp://hdl.handle.net/10919/49672en
dc.language.isoenen
dc.publisherDepartment of Computer Science, Virginia Polytechnic Institute & State Universityen
dc.relation.ispartofComputer Science Technical Reportsen
dc.rightsIn Copyrighten
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/en
dc.subjectPhysical science and engineering — mathematicsen
dc.subjectProbability and statisticsen
dc.subjectMathematical softwareen
dc.titleAlgorithm XXX: QNSTOP—Quasi-Newton Algorithm for Stochastic Optimizationen
dc.typeTechnical reporten
dc.type.dcmitypeTexten

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