OpenOpt is a free MATLAB Toolbox, which is also run in Octave
Particularly, it contains non-smooth solvers
ralg (medium-scale, for nVars=1...1000)
ShorEllipsoid (small-scale, for nVars=1...10)
(both can handle lb, ub, Ax<=b, Aeq*x=beq, c(x)<=0, h(x)=0; providing gradients/sub gradients df, dc, dh is appreciated)
nonSmoothSolve - fsolve analog for nonsmooth & noisy funcs (try benchmarking in nonSmoothSolveEx.m).
Graphics output is also enabled (for Octave users still there are some problems).
2 lines are enough to solve your problem -
prob = ooAssign (ObjFun, x0, <optional params>)
r = ooRun (prob, solver)
Example of output structure r:
xf: [10x1 double] % x final
ff: -0.0719 % fval final
alg: 'Kennedy J., Eberhart R.C. (1995): Particle swarm optimization. In: Proc.'
author: 'Alexandros Leontitsis, me00743-at-cc.uoi.gr, University of Ioannina, Greece'
(+some other fields)
Regrads, Dmitrey. 15.02.2007,
P.S. You are welcome to our homepage http://openopt.org, where we have provided some more free numerical optimization software (however, non-MATLAB language).