Subject: Global Optimization by Multilevel Coordinate Search

From: Arnold Neumaier <[email-masked]>
Date: Tue, 19 Jan 1999 11:44:04 +0100

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Global Optimization by Multilevel Coordinate Search (MCS)
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MCS is a Matlab program for bound constrained global optimization 
using function values only, based on a multilevel coordinate search
that balances global and local search. The local search is done via
sequential quadratic programming.

MCS attempts to find the global minimizer of the bound constrained 
optimization problem

   min  f(data,x)
   s.t. x in [u,v] (a box in R^n)

where data is a fixed data vector, 
and f is a function of data and x defined by a user-provided m-File,

The search is not exhaustive; so the global minimum may be missed.
However, a comparison to other global optimization algorithms shows
excellent performance in many cases, especially in low dimensions.

A derivation of the algorithm, the underlying theory, and numerical 
comparisons can be found in the paper

   W. Huyer and A. Neumaier,
   Global optimization by multilevel coordinate search,
   to appear in J. Global Optimization.

This paper and the required m-files can be downloaded from
http://solon.cma.univie.ac.at/~neum/software/mcs