/usr/share/octave/packages/optim-1.4.0/battery.m is in octave-optim 1.4.0-1.
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1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 | ## Copyright (C) 2004 Michael Creel <michael.creel@uab.es>
##
## This program is free software; you can redistribute it and/or modify it under
## the terms of the GNU General Public License as published by the Free Software
## Foundation; either version 3 of the License, or (at your option) any later
## version.
##
## This program is distributed in the hope that it will be useful, but WITHOUT
## ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
## FITNESS FOR A PARTICULAR PURPOSE. See the GNU General Public License for more
## details.
##
## You should have received a copy of the GNU General Public License along with
## this program; if not, see <http://www.gnu.org/licenses/>.
## battery.m: repeatedly call bfgs using a battery of
## start values, to attempt to find global min
## of a nonconvex function
##
## INPUTS:
## func: function to mimimize
## args: args of function
## minarg: argument to minimize w.r.t. (usually = 1)
## startvals: kxp matrix of values to try for sure (don't include all zeros, that's automatic)
## max iters per start value
## number of additional random start values to try
##
# OUTPUT: theta - the best value found - NOT iterated to convergence
function theta = battery(func, args, minarg, startvals, maxiters)
# setup
[k,trials] = size(startvals);
bestobj = inf;
besttheta = zeros(k,1);
bfgscontrol = {maxiters,0,0,1};
# now try the supplied start values, and optionally the random start values
for i = 1:trials
args{minarg} = startvals(:,i);
[theta, obj_value, convergence] = bfgsmin (func, args, bfgscontrol);
if obj_value < bestobj
besttheta = theta;
bestobj = obj_value;
endif
endfor
theta = besttheta;
endfunction
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