Optimized Step Size Random Search(OSSRS) A random search method for the optimization of a function of n variables. Can be used as a start-up before using a determistic method like Simplex method of Nelder and Mead to arrive at the region of the optimum and then switch to a deterministic search.
The function to be minimized is to be deifned in the m function called fun.m. 'n' is the number of variables. x is the vector of initial variables. 'std' can be set based on the range of variation of the variables- about 10% of x- the initial values-should be right.
The following demo function is included:
Sheela Belur V, An Optimized Step Size Random Search , Computer Methods in Appl. Mech & Engg, Vol. 19, 99-106 , 1979
Tested under MATLAB 4.2c & 5
Seems to work well with the infamous Rosenbrock function. Documentation could be better.
The algorith was tested by my. It good work
for quadratic function and near them.
In code there are mistake with calculation
summary function evaluation. I may to propouse the test results.==Victor