MGLS is a package in MATLAB for multigrid/mutilevel optimization.
MGLS solves an infinite dimensional minimization problem min F(X), using a multigrid algorithm.
The purpose of this code "MGLS" is to demonstrate the algorithms proposed in
@article{WenGoldfarb2007b,
AUTHOR = {Wen, Zaiwen and Goldfarb, Donald},
TITLE = {A line search multigrid method for large-scale nonlinear optimization},
JOURNAL = {SIAM J. Optim.},
FJOURNAL = {SIAM Journal on Optimization},
VOLUME = {20},
YEAR = {2009},
NUMBER = {3},
PAGES = {1478--1503},
}
Please refer to the example driver file "TestBatchMGDriver.m" and "GetProb.m" if the document is not clear.
- download MGLS. This should create a directory with /MGLS, /MGLS/MG-OPT, /MGLS/MG-Lineq, /MGLS/Model, /MGLS/utils
- Add these folders to your MATLAB path
>> TestBatchMGDriver
A collection of test problems is stored in "Model"
Some parts of the linear multigrid methods (MG-Lineq) for solving Ax = b are modified from the package MGLab by James Bordner and Faisal Saied
We hope that MGLS is useful for your application. If you have any bug reports or comments, please feel free to the toolbox author:
- Zaiwen Wen, wenzw at pku.edu.cn
Copyright (C) 2017, Jiang Hu, Zaiwen Wen
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/