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glbFast

The Tomlab solver glbFast.m solves box-bounded global optimization problems using only function values. The algorithm implemented is an improved version of the Jones et al. DIRECT algorithm and implemented in Fortran using a MEX-file interface.

Main features

  • glbFast implements the algorithm DIRECT by D. R. Jones, C. D. Perttunen and B. E. Stuckman presented in the paper Lipschitzian Optimization Without the Lipschitz Constant, JOTA  Vol. 79, No. 1, October 1993.
     
  • glbFast is using the algorithm conhull to return all points on the convex hull, even redundant ones. conhull is based on the algorithm GRAHAMSHULL, pages 108-109 in Computational Geometry by Franco P. Preparata and Michael Ian Shamos.
     
  • See the description of glbSolve for test results with glbFast.

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