NAG CL Interface
e04kbc (bounds_deriv)
1
Purpose
e04kbc is a comprehensive quasiNewton algorithm for finding:
– 
an unconstrained minimum of a function of several variables; 
– 
a minimum of a function of several variables subject to fixed upper and/or lower bounds on the variables. 
First derivatives are required. e04kbc is intended for objective functions which have continuous first and second derivatives (although it will usually work even if the derivatives have occasional discontinuities).
2
Specification
void 
e04kbc (Integer n,
void 
(*objfun)(Integer n,
const double x[],
double *objf,
double g[],
Nag_Comm *comm),


Nag_BoundType bound,
double bl[],
double bu[],
double x[],
double *objf,
double g[],
Nag_E04_Opt *options,
Nag_Comm *comm,
NagError *fail) 

The function may be called by the names: e04kbc or nag_opt_bounds_deriv.
3
Description
e04kbc is applicable to problems of the form:
Special provision is made for unconstrained minimization (i.e., problems which actually have no bounds on the
${x}_{j}$), problems which have only nonnegativity bounds, and problems in which
${l}_{1}={l}_{2}=\cdots ={l}_{n}$ and
${u}_{1}={u}_{2}=\cdots ={u}_{n}$. It is possible to specify that a particular
${x}_{j}$ should be held constant. You must supply a starting point and a function
objfun to calculate the value of
$F\left(x\right)$ and its first derivatives
$\frac{\partial F}{\partial {x}_{j}}$ at any point
$x$.
A typical iteration starts at the current point
$x$ where
${n}_{z}$ (say) variables are free from both their bounds. The vector
${g}_{z}$, whose elements are the derivatives of
$F\left(x\right)$ with respect to the free variables, is known. A unit lower triangular matrix
$L$ and a diagonal matrix
$D$ (both of dimension
${n}_{z}$), such that
${LDL}^{\mathrm{T}}$ is a positive definite approximation to the matrix of second derivatives with respect to the free variables, are also stored. The equations
are solved to give a search direction
${p}_{z}$, which is expanded to an
$n$vector
$p$ by the insertion of appropriate zero elements. Then
$\alpha $ is found such that
$F\left(x+\alpha p\right)$ is approximately a minimum (subject to the fixed bounds) with respect to
$\alpha $;
$x$ is replaced by
$x+\alpha p$, and the matrices
$L$ and
$D$ are updated so as to be consistent with the change produced in the gradient by the step
$\alpha p$. If any variable actually reaches a bound during the search along
$p$, it is fixed and
${n}_{z}$ is reduced for the next iteration.
There are two sets of convergence criteria – a weaker and a stronger. Whenever the weaker criteria are satisfied, the Lagrangemultipliers are estimated for all the active constraints. If any Lagrangemultiplier estimate is significantly negative, then one of the variables associated with a negative Lagrangemultiplier estimate is released from its bound and the next search direction is computed in the extended subspace (i.e., ${n}_{z}$ is increased). Otherwise minimization continues in the current subspace provided that this is practicable. When it is not, or when the stronger convergence criteria is already satisfied, then, if one or more Lagrangemultiplier estimates are close to zero, a slight perturbation is made in the values of the corresponding variables in turn until a lower function value is obtained. The normal algorithm is then resumed from the perturbed point.
If a saddle point is suspected, a local search is carried out with a view to moving away from the saddle point. In addition, e04kbc gives you the option of specifying that a local search should be performed when a point is found which is thought to be a constrained minimum.
If you specify that the problem is unconstrained, e04kbc sets the ${l}_{j}$ to ${10}^{10}$ and the ${u}_{j}$ to ${10}^{10}$. Thus, provided that the problem has been sensibly scaled, no bounds will be encountered during the minimization process and e04kbc will act as an unconstrained minimization algorithm.
4
References
Gill P E and Murray W (1972) QuasiNewton methods for unconstrained optimization J. Inst. Math. Appl. 9 91–108
Gill P E and Murray W (1973) Safeguarded steplength algorithms for optimization using descent methods NPL Report NAC 37 National Physical Laboratory
Gill P E and Murray W (1976) Minimization subject to bounds on the variables NPL Report NAC 72 National Physical Laboratory
Gill P E, Murray W and Pitfield R A (1972) The implementation of two revised quasiNewton algorithms for unconstrained optimization NPL Report NAC 11 National Physical Laboratory
5
Arguments

1:
$\mathbf{n}$ – Integer
Input

On entry: the number $n$ of independent variables.
Constraint:
${\mathbf{n}}\ge 1$.

2:
$\mathbf{objfun}$ – function, supplied by the user
External Function

objfun must evaluate the function
$F\left(x\right)$ and its first derivatives
$\frac{\partial F}{\partial {x}_{j}}$ at any point
$x$. (However, if you do not wish to calculate
$F\left(x\right)$ or its first derivatives at a particular
$x$, there is the option of setting an argument to cause
e04kbc to terminate immediately.)
The specification of
objfun is:
void 
objfun (Integer n,
const double x[],
double *objf,
double g[],
Nag_Comm *comm)



1:
$\mathbf{n}$ – Integer
Input

On entry: the number $n$ of variables.

2:
$\mathbf{x}\left[{\mathbf{n}}\right]$ – const double
Input

On entry: the point $x$ at which the value of $F$, or $F$ and $\frac{\partial F}{\partial {x}_{j}}$, are required.

3:
$\mathbf{objf}$ – double *
Output

On exit:
objfun must set
objf to the value of the objective function
$F$ at the current point
$x$. If it is not possible to evaluate
$F$, then
objfun should assign a negative value to
$\mathbf{comm}\mathbf{\to}\mathbf{flag}$;
e04kbc will then terminate.

4:
$\mathbf{g}\left[{\mathbf{n}}\right]$ – double
Output

On exit: if
$\mathbf{comm}\mathbf{\to}\mathbf{flag}=2$ on entry, then
objfun must set
${\mathbf{g}}\left[j1\right]$ to the value of the first derivative
$\frac{\partial F}{\partial {x}_{j}}$ at the current point,
$x$ for
$j=1,2,\dots ,n$. If it is not possible to evaluate the first derivatives then
objfun should assign a negative value to
$\mathbf{comm}\mathbf{\to}\mathbf{flag}$;
e04kbc will then terminate.
(If
$\mathbf{comm}\mathbf{\to}\mathbf{flag}=0$ on entry,
objfun must
not change the elements of
g.)

5:
$\mathbf{comm}$ – Nag_Comm *

Pointer to structure of type Nag_Comm; the following members are relevant to
objfun.
 flag – IntegerInput/Output

On entry: $\mathbf{comm}\mathbf{\to}\mathbf{flag}$ will be set to 0 or $2$. The value 0 indicates that only $F$ itself needs to be evaluated. The value 2 indicates that both $F$ and its first derivatives must be calculated.
On exit: if
objfun resets
$\mathbf{comm}\mathbf{\to}\mathbf{flag}$ to some negative number then
e04kbc will terminate immediately with the error indicator
NE_USER_STOP. If
fail is supplied to
e04kbc,
${\mathbf{fail}}\mathbf{.}\mathbf{errnum}$ will be set to your setting of
$\mathbf{comm}\mathbf{\to}\mathbf{flag}$.
 first – Nag_BooleanInput

On entry: will be set to Nag_TRUE on the first call to
objfun and Nag_FALSE for all subsequent calls.
 nf – IntegerInput

On entry: the number of calculations of the objective function; this value will be equal to the number of calls made to
objfun, including the current one.
 user – double *
 iuser – Integer *
 p – Pointer

The type Pointer will be void * with a C compiler that defines void * and char * otherwise.
Before calling
e04kbc these pointers may be allocated memory and initialized with various quantities for use by
objfun when called from
e04kbc.
Note: objfun should not return floatingpoint NaN (Not a Number) or infinity values, since these are not handled by
e04kbc. If your code inadvertently
does return any NaNs or infinities,
e04kbc is likely to produce unexpected results.
Note: objfun should be tested separately before being used in conjunction with
e04kbc. The array
x must
not be changed by
objfun.

3:
$\mathbf{bound}$ – Nag_BoundType
Input

On entry: indicates whether the problem is unconstrained or bounded and, if it is bounded, whether the facility for dealing with bounds of special forms is to be used.
bound should be set to one of the following values:
 ${\mathbf{bound}}=\mathrm{Nag\_Bounds}$
 If the variables are bounded and you will be supplying all the ${l}_{j}$ and ${u}_{j}$ individually.
 ${\mathbf{bound}}=\mathrm{Nag\_NoBounds}$
 If the problem is unconstrained.
 ${\mathbf{bound}}=\mathrm{Nag\_BoundsZero}$
 If the variables are bounded, but all the bounds are of the form $0\le {x}_{j}$.
 ${\mathbf{bound}}=\mathrm{Nag\_BoundsEqual}$
 If all the variables are bounded, and ${l}_{1}={l}_{2}=\cdots ={l}_{n}$ and ${u}_{1}={u}_{2}=\cdots ={u}_{n}$.
Constraint:
${\mathbf{bound}}=\mathrm{Nag\_Bounds}$, $\mathrm{Nag\_NoBounds}$, $\mathrm{Nag\_BoundsZero}$ or $\mathrm{Nag\_BoundsEqual}$.

4:
$\mathbf{bl}\left[{\mathbf{n}}\right]$ – double
Input/Output

On entry: the lower bounds
${l}_{j}$.
If ${\mathbf{bound}}=\mathrm{Nag\_Bounds}$, you must set ${\mathbf{bl}}\left[\mathit{j}1\right]$ to ${l}_{\mathit{j}}$, for $\mathit{j}=1,2,\dots ,n$. (If a lower bound is not required for any ${x}_{\mathit{j}}$, the corresponding ${\mathbf{bl}}\left[j1\right]$ should be set to a large negative number, e.g., ${10}^{10}$.)
If
${\mathbf{bound}}=\mathrm{Nag\_BoundsEqual}$, you must set
${\mathbf{bl}}\left[0\right]$ to
${l}_{1}$;
e04kbc will then set the remaining elements of
bl equal to
${\mathbf{bl}}\left[0\right]$.
If
${\mathbf{bound}}=\mathrm{Nag\_NoBounds}$ or
$\mathrm{Nag\_BoundsZero}$,
bl will be initialized by
e04kbc.
On exit: the lower bounds actually used by e04kbc, e.g., if ${\mathbf{bound}}=\mathrm{Nag\_BoundsZero}$, ${\mathbf{bl}}\left[0\right]={\mathbf{bl}}\left[1\right]=\cdots ={\mathbf{bl}}\left[n1\right]=0.0$.

5:
$\mathbf{bu}\left[{\mathbf{n}}\right]$ – double
Input/Output

On entry: the upper bounds
${u}_{j}$.
If ${\mathbf{bound}}=\mathrm{Nag\_Bounds}$, you must set ${\mathbf{bu}}\left[\mathit{j}1\right]$ to ${u}_{\mathit{j}}$, for $\mathit{j}=1,2,\dots ,n$. (If an upper bound is not required for any ${x}_{\mathit{j}}$, the corresponding ${\mathbf{bu}}\left[j1\right]$ should be set to a large positive number, e.g., ${10}^{10}$.)
If
${\mathbf{bound}}=\mathrm{Nag\_BoundsEqual}$, you must set
${\mathbf{bu}}\left[0\right]$ to
${u}_{1}$;
e04kbc will then set the remaining elements of
bu equal to
${\mathbf{bu}}\left[0\right]$.
If
${\mathbf{bound}}=\mathrm{Nag\_NoBounds}$ or
$\mathrm{Nag\_BoundsZero}$,
bu will be initialized by
e04kbc.
On exit: the upper bounds actually used by e04kbc, e.g., if ${\mathbf{bound}}=\mathrm{Nag\_BoundsZero}$, ${\mathbf{bu}}\left[0\right]={\mathbf{bu}}\left[1\right]=\cdots ={\mathbf{bu}}\left[n1\right]={10}^{10}$.

6:
$\mathbf{x}\left[{\mathbf{n}}\right]$ – double
Input/Output

On entry: ${\mathbf{x}}\left[\mathit{j}1\right]$ must be set to a guess at the $\mathit{j}$th component of the position of the minimum, for $\mathit{j}=1,2,\dots ,n$.
On exit: the final point ${x}^{*}$. Thus, if ${\mathbf{fail}}\mathbf{.}\mathbf{code}=\mathrm{NE\_NOERROR}$ on exit, ${\mathbf{x}}\left[j1\right]$ is the $j$th component of the estimated position of the minimum.

7:
$\mathbf{objf}$ – double *
Input/Output

On entry: if
${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\mathrm{Nag\_Init\_None}$ or
$\mathrm{Nag\_Init\_H\_S}$, you need not initialize
objf.
If
${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\mathrm{Nag\_Init\_F\_G\_H}$ or
$\mathrm{Nag\_Init\_All}$,
objf must be set on entry to the value of
$F\left(x\right)$ at the initial point supplied in
x.
On exit: the function value at the final point given in
x.

8:
$\mathbf{g}\left[{\mathbf{n}}\right]$ – double
Input/Output

On entry:
 ${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\mathrm{Nag\_Init\_F\_G\_H}$ or $\mathrm{Nag\_Init\_All}$
 g must be set on entry to the first derivative vector at the initial $x$.
 ${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\mathrm{Nag\_Init\_None}$ or $\mathrm{Nag\_Init\_H\_S}$
 g need not be set.
On exit: the first derivative vector corresponding to the final point in
x. The elements of
g corresponding to free variables should normally be close to zero.

9:
$\mathbf{options}$ – Nag_E04_Opt *
Input/Output

On entry/exit: a pointer to a structure of type Nag_E04_Opt whose members are optional parameters for
e04kbc. These structure members offer the means of adjusting some of the argument values of the algorithm and on output will supply further details of the results. A description of the members of
options is given below in
Section 11. Some of the results returned in
options can be used by
e04kbc to perform a ‘warm start’ if it is reentered (see the member
${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}$ in
Section 11.2).
If any of these optional parameters are required then the structure
options should be declared and initialized by a call to
e04xxc and supplied as an argument to
e04kbc. However, if the optional parameters are not required the NAG defined null pointer,
E04_DEFAULT, can be used in the function call.

10:
$\mathbf{comm}$ – Nag_Comm *
Input/Output

Note: comm is a NAG defined type (see
Section 3.1.1 in the Introduction to the NAG Library CL Interface).
On entry/exit: structure containing pointers for communication with usersupplied functions; see the above description of
objfun for details. If you do not need to make use of this communication feature the null pointer
NAGCOMM_NULL may be used in the call to
e04kbc;
comm will then be declared internally for use in calls to usersupplied functions.

11:
$\mathbf{fail}$ – NagError *
Input/Output

The NAG error argument (see
Section 7 in the Introduction to the NAG Library CL Interface).
6
Error Indicators and Warnings
 When one of NE_USER_STOP, NE_INT_ARG_LT, NE_BOUND, NE_DERIV_ERRORS, NE_OPT_NOT_INIT, NE_BAD_PARAM, NE_2_REAL_ARG_LT, NE_INVALID_INT_RANGE_1, NE_INVALID_REAL_RANGE_EF, NE_INVALID_REAL_RANGE_FF, NE_INIT_MEM, NE_NO_MEM, NE_HESD or NE_ALLOC_FAIL occurs, no values will have been assigned by e04kbc to objf or to the elements of g, ${\mathbf{options}}\mathbf{.}{\mathbf{hesl}}$, or ${\mathbf{options}}\mathbf{.}{\mathbf{hesd}}$.
 An exit of ${\mathbf{fail}}\mathbf{.}\mathbf{code}={\mathbf{NW\_TOO\_MANY\_ITER}}$, NW_COND_MIN and NW_LOCAL_SEARCH may also be caused by mistakes in objfun, by the formulation of the problem or by an awkward function. If there are no such mistakes, it is worth restarting the calculations from a different starting point (not the point at which the failure occurred) in order to avoid the region which caused the failure.
 NE_2_REAL_ARG_LT

On entry, ${\mathbf{options}}\mathbf{.}{\mathbf{step\_max}}=\u2329\mathit{\text{value}}\u232a$ while ${\mathbf{options}}\mathbf{.}{\mathbf{optim\_tol}}=\u2329\mathit{\text{value}}\u232a$. These arguments must satisfy ${\mathbf{options}}\mathbf{.}{\mathbf{step\_max}}\ge {\mathbf{options}}\mathbf{.}{\mathbf{optim\_tol}}$.
 NE_ALLOC_FAIL

Dynamic memory allocation failed.
 NE_BAD_PARAM

On entry, argument
bound had an illegal value.
On entry, argument ${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}$ had an illegal value.
On entry, argument ${\mathbf{options}}\mathbf{.}{\mathbf{print\_level}}$ had an illegal value.
 NE_BOUND

The lower bound for variable $\u2329\mathit{\text{value}}\u232a$ (array element ${\mathbf{bl}}\left[\u2329\mathit{\text{value}}\u232a\right]$) is greater than the upper bound.
 NE_CHOLESKY_OVERFLOW

An overflow would have occurred during the updating of the Cholesky factors if the calculations had been allowed to continue. Restart from the current point with ${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\mathrm{Nag\_Init\_None}$.
 NE_DERIV_ERRORS

Large errors were found in the derivatives of the objective function.
 NE_HESD

The initial values of the supplied ${\mathbf{options}}\mathbf{.}{\mathbf{hesd}}$ has some value(s) which is negative or too small or the ratio of the largest element of ${\mathbf{options}}\mathbf{.}{\mathbf{hesd}}$ to the smallest is too large.
 NE_INIT_MEM

Option ${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\u2329\mathit{string}\u232a$ but the pointer $\u2329\mathit{string}\u232a$ in the option structure has not been allocated memory.
 NE_INT_ARG_LT

On entry, ${\mathbf{n}}=\u2329\mathit{\text{value}}\u232a$.
Constraint: ${\mathbf{n}}\ge 1$.
 NE_INVALID_INT_RANGE_1

Value $\u2329\mathit{\text{value}}\u232a$ given to ${\mathbf{options}}\mathbf{.}{\mathbf{max\_iter}}$ is not valid. Correct range is ${\mathbf{options}}\mathbf{.}{\mathbf{max\_iter}}\ge 0$.
 NE_INVALID_REAL_RANGE_EF

Value $\u2329\mathit{\text{value}}\u232a$ given to ${\mathbf{options}}\mathbf{.}{\mathbf{optim\_tol}}$ not valid. Correct range is $\epsilon \le {\mathbf{options}}\mathbf{.}{\mathbf{optim\_tol}}<1.0$.
 NE_INVALID_REAL_RANGE_FF

Value $\u2329\mathit{\text{value}}\u232a$ given to ${\mathbf{options}}\mathbf{.}{\mathbf{linesearch\_tol}}$ not valid. Correct range is $0.0\le {\mathbf{options}}\mathbf{.}{\mathbf{linesearch\_tol}}<1.0$.
 NE_NO_MEM

Option ${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\u2329\mathit{string}\u232a$ but at least one of the pointers $\u2329\mathit{string}\u232a$ in the option structure has not been allocated memory.
 NE_NOT_APPEND_FILE

Cannot open file $\u2329\mathit{string}\u232a$ for appending.
 NE_NOT_CLOSE_FILE

Cannot close file $\u2329\mathit{string}\u232a$.
 NE_OPT_NOT_INIT

Options structure not initialized.
 NE_USER_STOP

User requested termination, user flag value $\text{}=\u2329\mathit{\text{value}}\u232a$.
This exit occurs if you set
$\mathbf{comm}\mathbf{\to}\mathbf{flag}$ to a negative value in
objfun. If
fail is supplied the value of
${\mathbf{fail}}\mathbf{.}\mathbf{errnum}$ will be the same as your setting of
$\mathbf{comm}\mathbf{\to}\mathbf{flag}$.
 NE_WRITE_ERROR

Error occurred when writing to file $\u2329\mathit{string}\u232a$.
 NW_COND_MIN

The conditions for a minimum have not all been satisfied, but a lower point could not be found.
Provided that, on exit, the first derivatives of
$F\left(x\right)$ with respect to the free variables are sufficiently small, and that the estimated condition number of the second derivative matrix is not too large, this error exit may simply mean that, although it has not been possible to satisfy the specified requirements, the algorithm has in fact found the minimum as far as the accuracy of the machine permits. This could be because
${\mathbf{options}}\mathbf{.}{\mathbf{optim\_tol}}$ has been set so small that rounding error in
objfun makes attainment of the convergence conditions impossible.
If the estimated condition number of the approximate Hessian matrix at the final point is large, it could be that the final point is a minimum but that the smallest eigenvalue of the second derivative matrix is so close to zero that it is not possible to recognize the point as a minimum.
 NW_LOCAL_SEARCH

The local search has failed to find a feasible point which gives a significant change of function value.
If the problem is a genuinely unconstrained one, this type of exit indicates that the problem is extremely ill conditioned or that the function has no minimum. If the problem has bounds which may be close to the minimum, it may just indicate that steps in the subspace of free variables happened to meet a bound before they changed the function value.
 NW_TOO_MANY_ITER

The maximum number of iterations, $\u2329\mathit{\text{value}}\u232a$, have been performed.
If steady reductions in
$F\left(x\right)$, were monitored up to the point where this exit occurred, then the exit probably occurred simply because
${\mathbf{options}}\mathbf{.}{\mathbf{max\_iter}}$ was set too small, so the calculations should be restarted from the final point held in
x. This exit may also indicate that
$F\left(x\right)$ has no minimum.
7
Accuracy
A successful exit
$\left({\mathbf{fail}}\mathbf{.}\mathbf{code}=\mathrm{NE\_NOERROR}\right)$ is made from
e04kbc when (B1, B2 and B3) or B4 hold, and the local search (if used) confirms a minimum, where
 $\mathrm{B}1\equiv {\alpha}^{\left(k\right)}\times \Vert {p}^{\left(k\right)}\Vert <\left({\mathbf{options}}\mathbf{.}{\mathbf{optim\_tol}}+\sqrt{\epsilon}\right)\times \left(1.0+\Vert {x}^{\left(k\right)}\Vert \right)$
 $\mathrm{B}2\equiv \left{F}^{\left(k\right)}{F}^{\left(k1\right)}\right<\left({{\mathbf{options}}\mathbf{.}{\mathbf{optim\_tol}}}^{2}+\epsilon \right)\times \left(1.0+\left{F}^{\left(k\right)}\right\right)$
 $\mathrm{B}3\equiv \Vert {g}_{z}^{\left(k\right)}\Vert <\left({\epsilon}^{1/3}+{\mathbf{options}}\mathbf{.}{\mathbf{optim\_tol}}\right)\times \left(1.0+\left{F}^{\left(k\right)}\right\right)$
 $\mathrm{B}4\equiv \Vert {g}_{z}^{\left(k\right)}\Vert <0.01\times \sqrt{\epsilon}\text{.}$
(Quantities with superscript
$k$ are the values at the
$k$th iteration of the quantities mentioned in
Section 3;
$\epsilon $ is the
machine precision,
$\text{.}$ denotes the Euclidean norm and
${\mathbf{options}}\mathbf{.}{\mathbf{optim\_tol}}$ is described in
Section 11.)
If
${\mathbf{fail}}\mathbf{.}\mathbf{code}=\mathrm{NE\_NOERROR}$, then the vector in
x on exit,
${x}_{\mathrm{sol}}$, is almost certainly an estimate of the position of the minimum,
${x}_{\mathrm{true}}$, to the accuracy specified by
${\mathbf{options}}\mathbf{.}{\mathbf{optim\_tol}}$.
If
${\mathbf{fail}}\mathbf{.}\mathbf{code}={\mathbf{NW\_COND\_MIN}}$ or
NW_LOCAL_SEARCH,
${x}_{\mathrm{sol}}$ may still be a good estimate of
${x}_{\mathrm{true}}$, but the following checks should be made. Let the largest of the first
${n}_{z}$ elements of
${\mathbf{options}}\mathbf{.}{\mathbf{hesd}}$ be
${\mathbf{options}}\mathbf{.}{\mathbf{hesd}}\left[b\right]$, let the smallest be
${\mathbf{options}}\mathbf{.}{\mathbf{hesd}}\left[s\right]$, and define
$k={\mathbf{options}}\mathbf{.}{\mathbf{hesd}}\left[b\right]/{\mathbf{options}}\mathbf{.}{\mathbf{hesd}}\left[s\right]$. The scalar
$k$ is usually a good estimate of the condition number of the projected Hessian matrix at
${x}_{\mathrm{sol}}$. If

(a)the sequence $\left\{F\left({x}^{\left(k\right)}\right)\right\}$ converges to $F\left({x}_{\mathrm{sol}}\right)$ at a superlinear or a fast linear rate,

(b)${\Vert {g}_{z}\left({x}_{\mathrm{sol}}\right)\Vert}^{2}<10.0\times \epsilon $, and

(c)$k<1.0/\Vert {g}_{z}\left({x}_{\mathrm{sol}}\right)\Vert $,
then it is almost certain that
${x}_{\mathrm{sol}}$ is a close approximation to the position of a minimum. When
(b) is true, then usually
$F\left({x}_{\mathrm{sol}}\right)$ is a close approximation to
$F\left({x}_{\mathrm{true}}\right)$. The quantities needed for these checks are all available in the results printout from
e04kbc; in particular the final value of
Cond H gives
$k$.
Further suggestions about confirmation of a computed solution are given in the
E04 Chapter Introduction.
8
Parallelism and Performance
e04kbc is not threaded in any implementation.
9.1
Timing
The number of iterations required depends on the number of variables, the behaviour of
$F\left(x\right)$, the accuracy demanded and the distance of the starting point from the solution. The number of multiplications performed in an iteration of
e04kbc is roughly proportional to
${n}_{z}^{2}$. In addition, each iteration makes at least one call of
objfun with
$\mathbf{comm}\mathbf{\to}\mathbf{flag}=2$ if
${\mathbf{options}}\mathbf{.}{\mathbf{minlin}}=\mathrm{Nag\_Lin\_Deriv}$ is used or one call of
objfun with
$\mathbf{comm}\mathbf{\to}\mathbf{flag}=0$ if
${\mathbf{options}}\mathbf{.}{\mathbf{minlin}}=\mathrm{Nag\_Lin\_NoDeriv}$ is chosen. So, unless
$F\left(x\right)$ can be evaluated very quickly, the run time will be dominated by the time spent in
objfun.
9.2
Scaling
Ideally, the problem should be scaled so that, at the solution, $F\left(x\right)$ and the corresponding values of the ${x}_{j}$ are each in the range $\left(1,+1\right)$, and so that at points one unit away from the solution, $F\left(x\right)$ differs from its value at the solution by approximately one unit. This will usually imply that the Hessian matrix at the solution is well conditioned. It is unlikely that you will be able to follow these recommendations very closely, but it is worth trying (by guesswork), as sensible scaling will reduce the difficulty of the minimization problem, so that e04kbc will take less computer time.
9.3
Unconstrained Minimization
If a problem is genuinely unconstrained and has been scaled sensibly, the following points apply:

(a)${n}_{z}$ will always be $n$,

(b)if ${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\mathrm{Nag\_Init\_All}$ or $\mathrm{Nag\_Init\_H\_S}$ on entry, ${\mathbf{options}}\mathbf{.}{\mathbf{state}}\left[\mathit{j}1\right]$ has simply to be set to $\mathit{j}$, for $\mathit{j}=1,2,\dots ,n$,

(c)${\mathbf{options}}\mathbf{.}{\mathbf{hesl}}$ and ${\mathbf{options}}\mathbf{.}{\mathbf{hesd}}$ will be factors of the full approximate second derivative matrix with elements stored in the natural order,

(d)the elements of g should all be close to zero at the final point,

(e)the Status values given in the printout from e04kbc and in ${\mathbf{options}}\mathbf{.}{\mathbf{state}}$ on exit are unlikely to be of interest (unless they are negative, which would indicate that the modulus of one of the ${x}_{j}$ has reached ${10}^{10}$ for some reason),

(f)Norm g simply gives the norm of the first derivative vector.
10
Example
This example minimizes the function
subject to the bounds
starting from the initial guess
${\left(3.0,0.9,0.13,1.1\right)}^{\mathrm{T}}$.
The
options structure is declared and initialized by
e04xxc. Four option values are read from a data file by use of
e04xyc. The memory freeing function
e04xzc is used to free the memory assigned to the pointers in the option structure. You must
not use the standard C function
free() for this purpose.
10.1
Program Text
10.2
Program Data
10.3
Program Results
11
Optional Parameters
A number of optional input and output arguments to
e04kbc are available through the structure argument
options, type Nag_E04_Opt. An argument may be selected by assigning an appropriate value to the relevant structure member; those arguments not selected will be assigned default values. If no use is to be made of any of the optional parameters you should use the NAG defined null pointer,
E04_DEFAULT, in place of
options when calling
e04kbc; the default settings will then be used for all arguments.
Before assigning values to
options directly the structure
must be initialized by a call to the function
e04xxc. Values may then be assigned to the structure members in the normal C manner.
After return from
e04kbc, the
options structure may only be reused for future calls of
e04kbc if the dimensions of the new problem are the same. Otherwise, the structure must be cleared by a call of
e04xzc) and reinitialized by a call of
e04xxc before future calls. Failure to do this will result in unpredictable behaviour.
Option settings may also be read from a text file using the function
e04xyc in which case initialization of the
options structure will be performed automatically if not already done. Any subsequent direct assignment to the
options structure must
not be preceded by initialization.
If assignment of functions and memory to pointers in the
options structure is required, then this must be done directly in the calling program; they cannot be assigned using
e04xyc.
11.1
Optional Parameter Checklist and Default Values
For easy reference, the following list shows the members of
options which are valid for
e04kbc together with their default values where relevant. The number
$\epsilon $ is a generic notation for
machine precision (see
X02AJC).
Boolean list 
Nag_TRUE 
Nag_PrintType print_level 
Nag_Soln_Iter 
char outfile[512] 
stdout 
void (*print_fun)() 
NULL 
Boolean deriv_check 
Nag_TRUE 
Nag_InitType init_state 
Nag_Init_None 
Integer max_iter 
$50{\mathbf{n}}$ 
double optim_tol 
$10\sqrt{\epsilon}$ 
Nag_LinFun minlin 
Nag_Lin_Deriv 
double linesearch_tol 
$0.9$ ($0.0$ if ${\mathbf{n}}=1$) 
double step_max 
100000.0 
double f_est 

Boolean local_search 
Nag_TRUE 
Integer *state 
size n 
double *hesl 
size $\mathrm{max}\phantom{\rule{0.125em}{0ex}}\left({\mathbf{n}}\left[{\mathbf{n}}1\right]/2,1\right)$ 
double *hesd 
size n 
Integer iter 
Integer nf 
11.2
Description of the Optional Parameters
list – Nag_Boolean   Default $\text{}=\mathrm{Nag\_TRUE}$ 
On entry: if ${\mathbf{options}}\mathbf{.}{\mathbf{list}}=\mathrm{Nag\_TRUE}$ the argument settings in the call to e04kbc will be printed.
print_level – Nag_PrintType   Default $\text{}=\mathrm{Nag\_Soln\_Iter}$ 
On entry: the level of results printout produced by
e04kbc. The following values are available:
$\mathrm{Nag\_NoPrint}$ 
No output. 
$\mathrm{Nag\_Soln}$ 
The final solution. 
$\mathrm{Nag\_Iter}$ 
One line of output for each iteration. 
$\mathrm{Nag\_Soln\_Iter}$ 
The final solution and one line of output for each iteration. 
$\mathrm{Nag\_Soln\_Iter\_Full}$ 
The final solution and detailed printout at each iteration. 
Details of each level of results printout are described in
Section 11.3.
Constraint:
${\mathbf{options}}\mathbf{.}{\mathbf{print\_level}}=\mathrm{Nag\_NoPrint}$, $\mathrm{Nag\_Soln}$, $\mathrm{Nag\_Iter}$, $\mathrm{Nag\_Soln\_Iter}$ or $\mathrm{Nag\_Soln\_Iter\_Full}$.
outfile – const char[512]   Default $\text{}=\mathtt{stdout}$ 
On entry: the name of the file to which results should be printed. If ${\mathbf{options}}\mathbf{.}{\mathbf{outfile}}\left[0\right]=\text{'}\text{}\text{0}\text{}\text{'}$ then the stdout stream is used.
print_fun – pointer to function   Default $\text{}=\text{}$ NULL 
On entry: printing function defined by you; the prototype of
${\mathbf{options}}\mathbf{.}{\mathbf{print\_fun}}$ is
void (*print_fun)(const Nag_Search_State *st, Nag_Comm *comm);
See
Section 11.3.1 below for further details.
deriv_check – Nag_Boolean   Default $\text{}=\mathrm{Nag\_TRUE}$ 
If ${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}\ne \mathrm{Nag\_Init\_None}$ then the default of ${\mathbf{options}}\mathbf{.}{\mathbf{deriv\_check}}$ is changed to Nag_FALSE.
On entry: if
${\mathbf{options}}\mathbf{.}{\mathbf{deriv\_check}}=\mathrm{Nag\_TRUE}$ a check of the derivatives defined by
objfun will be made at the starting point
x. The derivative check is carried out by a call to
e04hcc. If
${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}$ is set to a value other than its default value (
${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\mathrm{Nag\_Init\_None}$) then the default of
${\mathbf{options}}\mathbf{.}{\mathbf{deriv\_check}}$ will be Nag_FALSE. A starting point of
$x=0$ or
$x=1$ should be avoided if this test is to be meaningful, if either of these starting points is necessary then
e04hcc should be used to check
objfun at a different point prior to calling
e04kbc.
init_state – Nag_InitType   Default $\text{}=\mathrm{Nag\_Init\_None}$ 
On entry:
${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}$ specifies which of the arguments
objf,
g,
${\mathbf{options}}\mathbf{.}{\mathbf{hesl}}$,
${\mathbf{options}}\mathbf{.}{\mathbf{hesd}}$ and
${\mathbf{options}}\mathbf{.}{\mathbf{state}}$ are actually being initialized. Such information will generally reduce the time taken by
e04kbc.
 ${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\mathrm{Nag\_Init\_None}$
 No values are assumed to have been set in any of objf, g, ${\mathbf{options}}\mathbf{.}{\mathbf{hesl}}$, ${\mathbf{options}}\mathbf{.}{\mathbf{hesd}}$ or ${\mathbf{options}}\mathbf{.}{\mathbf{state}}$. (e04kbc will use the unit matrix as the initial estimate of the Hessian matrix.)
 ${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\mathrm{Nag\_Init\_F\_G\_H}$
 The arguments objf and g must contain the value of $F\left(x\right)$ and its first derivatives at the starting point. The elements ${\mathbf{options}}\mathbf{.}{\mathbf{hesd}}\left[j1\right]$ must have been set to estimates of the derivatives $\frac{{\partial}^{2}F}{\partial {x}_{j}^{2}}$ at the starting point. No values are assumed to have been set in ${\mathbf{options}}\mathbf{.}{\mathbf{hesl}}$ or ${\mathbf{options}}\mathbf{.}{\mathbf{state}}$.
 ${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\mathrm{Nag\_Init\_All}$
 The arguments objf and g must contain the value of $F\left(x\right)$ and its first derivatives at the starting point. All $n$ elements of ${\mathbf{options}}\mathbf{.}{\mathbf{state}}$ must have been set to indicate which variables are on their bounds and which are free. ${\mathbf{options}}\mathbf{.}{\mathbf{hesl}}$ and ${\mathbf{options}}\mathbf{.}{\mathbf{hesd}}$ must contain the Cholesky factors of a positive definite approximation to the ${n}_{z}$ by ${n}_{z}$ Hessian matrix for the subspace of free variables. (This option is useful for restarting the minimization process if ${\mathbf{options}}\mathbf{.}{\mathbf{max\_iter}}$ is reached.)
 ${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\mathrm{Nag\_Init\_H\_S}$
 No values are assumed to have been set in objf or g, but ${\mathbf{options}}\mathbf{.}{\mathbf{hesl}}$, ${\mathbf{options}}\mathbf{.}{\mathbf{hesd}}$ and ${\mathbf{options}}\mathbf{.}{\mathbf{state}}$ must have been set as for ${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\mathrm{Nag\_Init\_All}$. (This option is useful for starting off a minimization run using second derivative information from a previous, similar, run.)
Constraint:
${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\mathrm{Nag\_Init\_None}$, $\mathrm{Nag\_Init\_F\_G\_H}$, $\mathrm{Nag\_Init\_All}$ or $\mathrm{Nag\_Init\_H\_S}$.
max_iter – Integer   Default $\text{}=50{\mathbf{n}}$ 
On entry: the limit on the number of iterations allowed before termination.
Constraint:
${\mathbf{options}}\mathbf{.}{\mathbf{max\_iter}}\ge 0$.
optim_tol – double   Default $\text{}=10\sqrt{\epsilon}$ 
On entry: the accuracy in
$x$ to which the solution is required. If
${x}_{\mathrm{true}}$ is the true value of
$x$ at the minimum, then
${x}_{\mathrm{sol}}$, the estimated position prior to a normal exit, is such that
where
$\Vert y\Vert ={\left({\sum}_{j=1}^{n}{y}_{j}^{2}\right)}^{1/2}$. For example, if the elements of
${x}_{\mathrm{sol}}$ are not much larger than
$1.0$ in modulus and if
${\mathbf{options}}\mathbf{.}{\mathbf{optim\_tol}}$ is set to
${10}^{5}$, then
${x}_{\mathrm{sol}}$ is usually accurate to about 5 decimal places. (For further details see
Section 9.) If the problem is scaled roughly as described in
Section 9 and
$\epsilon $ is the
machine precision, then
$\sqrt{\epsilon}$ is probably the smallest reasonable choice for
${\mathbf{options}}\mathbf{.}{\mathbf{optim\_tol}}$. (This is because, normally, to machine accuracy,
$F\left(x+\sqrt{\epsilon}{e}_{j}\right)=F\left(x\right)$ where
${e}_{j}$ is any column of the identity matrix.)
Constraint:
$\epsilon \le {\mathbf{options}}\mathbf{.}{\mathbf{optim\_tol}}<1.0$.
minlin – Nag_LinFun   Default $\text{}=\mathrm{Nag\_Lin\_Deriv}$ 
On entry:
${\mathbf{options}}\mathbf{.}{\mathbf{minlin}}$ specifies whether the linear minimizations (i.e., minimizations of
$F\left(x+\alpha p\right)$ with respect to
$\alpha $) are to be performed by a function which just requires the evaluation of
$F\left(x\right)$,
$\mathrm{Nag\_Lin\_NoDeriv}$, or by a function which also requires the first derivatives of
$F\left(x\right)$,
$\mathrm{Nag\_Lin\_Deriv}$.
It will often be possible to evaluate the first derivatives of $F$ in about the same amount of computer time that is required for the evaluation of $F$ itself – if this is so then e04kbc should be called with ${\mathbf{options}}\mathbf{.}{\mathbf{minlin}}$ set to $\mathrm{Nag\_Lin\_Deriv}$. However, if the evaluation of the derivatives takes more than about 4 times as long as the evaluation of $F$, then a setting of $\mathrm{Nag\_Lin\_NoDeriv}$ will usually be preferable. If in doubt, use the default setting $\mathrm{Nag\_Lin\_Deriv}$ as it is slightly more robust.
Constraint:
${\mathbf{options}}\mathbf{.}{\mathbf{minlin}}=\mathrm{Nag\_Lin\_Deriv}$ or $\mathrm{Nag\_Lin\_NoDeriv}$.
linesearch_tol – double   Default $\text{}=0.9$ if ${\mathbf{n}}>1$, and $0.0$ otherwise 
If ${\mathbf{options}}\mathbf{.}{\mathbf{minlin}}=\mathrm{Nag\_Lin\_NoDeriv}$ then the default value of ${\mathbf{options}}\mathbf{.}{\mathbf{linesearch\_tol}}$ will be changed from $0.9$ to $0.5$ if ${\mathbf{n}}>1$.
On entry: every iteration of
e04kbc involves a linear minimization (i.e., minimization of
$F\left(x+\alpha p\right)$ with respect to
$\alpha $).
${\mathbf{options}}\mathbf{.}{\mathbf{linesearch\_tol}}$ specifies how accurately these linear minimizations are to be performed. The minimum with respect to
$\alpha $ will be located more accurately for small values of
${\mathbf{options}}\mathbf{.}{\mathbf{linesearch\_tol}}$ (say 0.01) than for large values (say 0.9).
Although accurate linear minimizations will generally reduce the number of iterations performed by e04kbc, they will increase the number of function evaluations required for each iteration. On balance, it is usually more efficient to perform a low accuracy linear minimization.
A smaller value such as $0.01$ may be worthwhile:

(a)if objfun takes so little computer time that it is worth using extra calls of objfun to reduce the number of iterations and associated matrix calculations

(b)if $F\left(x\right)$ is a penalty or barrier function arising from a constrained minimization problem (since such problems are very difficult to solve)

(c)if ${\mathbf{options}}\mathbf{.}{\mathbf{minlin}}=\mathrm{Nag\_Lin\_NoDeriv}$ and the calculation of first derivatives takes so much computer time (relative to the time taken to evaluate the function) that it is worth using extra function evaluations to reduce the number of derivative evaluations.
If ${\mathbf{n}}=1$, the default for ${\mathbf{options}}\mathbf{.}{\mathbf{linesearch\_tol}}=0.0$ (if the problem is effectively onedimensional then ${\mathbf{options}}\mathbf{.}{\mathbf{linesearch\_tol}}$ should be set to $0.0$ even though ${\mathbf{n}}>1$; i.e., if for all except one of the variables the lower and upper bounds are equal).
Constraint:
$0.0\le {\mathbf{options}}\mathbf{.}{\mathbf{linesearch\_tol}}<1.0$.
step_max – double   Default $\text{}=100000.0$ 
On entry: an estimate of the Euclidean distance between the solution and the starting point supplied. (For maximum efficiency a slight overestimate is preferable.)
e04kbc will ensure that, for each iteration,
where
$k$ is the iteration number. Thus, if the problem has more than one solution,
e04kbc is most likely to find the one nearest the starting point. On difficult problems, a realistic choice can prevent the sequence of
${x}^{\left(k\right)}$ entering a region where the problem is illbehaved and can also help to avoid possible overflow in the evaluation of
$F\left(x\right)$. However an underestimate of
${\mathbf{options}}\mathbf{.}{\mathbf{step\_max}}$ can lead to inefficiency.
Constraint:
${\mathbf{options}}\mathbf{.}{\mathbf{step\_max}}\ge {\mathbf{options}}\mathbf{.}{\mathbf{optim\_tol}}$.
On entry: an estimate of the function value at the minimum. This estimate is just used for calculating suitable step lengths for starting linear minimizations off, so the choice is not too critical. However, it is better for ${\mathbf{options}}\mathbf{.}{\mathbf{f\_est}}$ to be set to an underestimate rather than to an overestimate. If no value is supplied then an initial step length of $1.0$, subject to the variable bounds, will be used.
local_search – Nag_Boolean   Default $\text{}=\mathrm{Nag\_TRUE}$ 
On entry:
${\mathbf{options}}\mathbf{.}{\mathbf{local\_search}}$ must specify whether or not you wish a ‘local search’ to be performed when a point is found which is thought to be a constrained minimum.
If ${\mathbf{options}}\mathbf{.}{\mathbf{local\_search}}=\mathrm{Nag\_TRUE}$ and either the quasiNewton direction of search fails to produce a lower function value or the convergence criteria are satisfied, then a local search will be performed. This may move the search away from a saddle point or confirm that the final point is a minimum.
If ${\mathbf{options}}\mathbf{.}{\mathbf{local\_search}}=\mathrm{Nag\_FALSE}$ there will be no local search when a point is found which is thought to be a minimum.
The amount of work involved in a local search is comparable to twice that required in a normal iteration to minimize
$F\left(x+\alpha p\right)$ with respect to
$\alpha $. For most problems this will be small (relative to the total time required for the minimization).
${\mathbf{options}}\mathbf{.}{\mathbf{local\_search}}$ could be set Nag_FALSE if:
– 
it is known from the physical properties of a problem that a stationary point will be the required minimum; 
– 
a point which is not a minimum could be easily recognized, for example if the value of $F\left(x\right)$ at the minimum is known. 
state – Integer *   Default memory $\text{}={\mathbf{n}}$ 
On entry:
${\mathbf{options}}\mathbf{.}{\mathbf{state}}$ need not be set if the default option of
${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\mathrm{Nag\_Init\_None}$ is used as
n values of memory will be automatically allocated by
e04kbc.
If
${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\mathrm{Nag\_Init\_All}$ or
$\mathrm{Nag\_Init\_H\_S}$ has been chosen,
${\mathbf{options}}\mathbf{.}{\mathbf{state}}$ must point to a minimum of
n elements of memory. This memory will already be available if the calling program has used the
options structure in a previous call to
e04kbc with
${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\mathrm{Nag\_Init\_None}$ and the same value of
n. If a previous call has not been made you must allocate sufficient memory.
When
${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\mathrm{Nag\_Init\_All}$ or
$\mathrm{Nag\_Init\_H\_S}$ then
${\mathbf{options}}\mathbf{.}{\mathbf{state}}$ must specify information about which variables are currently on their bounds and which are free. If
${x}_{j}$ is:

(a)fixed on its upper bound, ${\mathbf{options}}\mathbf{.}{\mathbf{state}}\left[j1\right]$ is $1$;

(b)fixed on its lower bound, ${\mathbf{options}}\mathbf{.}{\mathbf{state}}\left[j1\right]$ is $2$;

(c)effectively a constant (i.e., ${l}_{j}={u}_{j}$), ${\mathbf{options}}\mathbf{.}{\mathbf{state}}\left[j1\right]$ is $3$;

(d)free, ${\mathbf{options}}\mathbf{.}{\mathbf{state}}\left[j1\right]$ gives its position in the sequence of free variables.
If ${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\mathrm{Nag\_Init\_None}$ or $\mathrm{Nag\_Init\_F\_G\_H}$, ${\mathbf{options}}\mathbf{.}{\mathbf{state}}$ will be initialized by e04kbc.
If ${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\mathrm{Nag\_Init\_All}$ or $\mathrm{Nag\_Init\_H\_S}$, ${\mathbf{options}}\mathbf{.}{\mathbf{state}}$ must be initialized before e04kbc is called.
On exit:
${\mathbf{options}}\mathbf{.}{\mathbf{state}}$ gives information as above about the final point given in
x.
hesl – double *   Default memory $\text{}=\mathrm{max}\phantom{\rule{0.125em}{0ex}}\left({\mathbf{n}}\left[{\mathbf{n}}1\right]/2,1\right)$ 
hesd – double *   Default memory $\text{}={\mathbf{n}}$ 
On entry:
${\mathbf{options}}\mathbf{.}{\mathbf{hesl}}$ and
${\mathbf{options}}\mathbf{.}{\mathbf{hesd}}$ need not be set if the default of
${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\mathrm{Nag\_Init\_None}$ is used as sufficient memory will be automatically allocated by
e04kbc.
If ${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\mathrm{Nag\_Init\_All}$ or ${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\mathrm{Nag\_Init\_H\_S}$ has been set then ${\mathbf{options}}\mathbf{.}{\mathbf{hesl}}$ must point to a minimum of $\mathrm{max}\phantom{\rule{0.125em}{0ex}}\left({\mathbf{n}}\left[{\mathbf{n}}1\right]/2,1\right)$ elements of memory.
${\mathbf{options}}\mathbf{.}{\mathbf{hesd}}$ must point to at least
n elements of memory if
${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\mathrm{Nag\_Init\_F\_G\_H}$,
$\mathrm{Nag\_Init\_All}$ or
$\mathrm{Nag\_Init\_H\_S}$ has been chosen.
The appropriate amount of memory will already be available for
${\mathbf{options}}\mathbf{.}{\mathbf{hesl}}$ and
${\mathbf{options}}\mathbf{.}{\mathbf{hesd}}$ if the calling program has used the
options structure in a previous call to
e04kbc with
${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\mathrm{Nag\_Init\_None}$ and the same value of
n. If a previous call has not been made, you must allocate sufficient memory.
${\mathbf{options}}\mathbf{.}{\mathbf{hesl}}$ and
${\mathbf{options}}\mathbf{.}{\mathbf{hesd}}$ are used to store the factors
$L$ and
$D$ of the current approximation to the matrix of second derivatives with respect to the free variables (see
Section 3). (The elements of the matrix are assumed to be ordered according to the permutation specified by the positive elements of
${\mathbf{options}}\mathbf{.}{\mathbf{state}}$, see above.)
${\mathbf{options}}\mathbf{.}{\mathbf{hesl}}$ holds the lower triangle of
$L$, omitting the unit diagonal, stored by rows.
${\mathbf{options}}\mathbf{.}{\mathbf{hesd}}$ stores the diagonal elements of
$D$. Thus if
${n}_{z}$ elements of
${\mathbf{options}}\mathbf{.}{\mathbf{state}}$ are positive, the strict lower triangle of
$L$ will be held in the first
${n}_{z}\left({n}_{z}1\right)/2$ elements of
${\mathbf{options}}\mathbf{.}{\mathbf{hesl}}$ and the diagonal elements of
$D$ in the first
${n}_{z}$ elements of
${\mathbf{options}}\mathbf{.}{\mathbf{hesd}}$.
If ${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\mathrm{Nag\_Init\_None}$ (the default), ${\mathbf{options}}\mathbf{.}{\mathbf{hesl}}$ and ${\mathbf{options}}\mathbf{.}{\mathbf{hesd}}$ will be initialized within e04kbc to the factors of the unit matrix.
If you set ${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\mathrm{Nag\_Init\_F\_G\_H}$, ${\mathbf{options}}\mathbf{.}{\mathbf{hesd}}\left[\mathit{j}1\right]$ must contain on entry an approximation to the second derivative with respect to ${x}_{\mathit{j}}$, for $\mathit{j}=1,2,\dots ,n$. ${\mathbf{options}}\mathbf{.}{\mathbf{hesl}}$ need not be set.
If ${\mathbf{options}}\mathbf{.}{\mathbf{init\_state}}=\mathrm{Nag\_Init\_All}$ or $\mathrm{Nag\_Init\_H\_S}$, ${\mathbf{options}}\mathbf{.}{\mathbf{hesl}}$ and ${\mathbf{options}}\mathbf{.}{\mathbf{hesd}}$ must contain on entry the Cholesky factors of a positive definite approximation to the ${n}_{z}$ by ${n}_{z}$ matrix of second derivatives for the subspace of free variables as specified by your setting of ${\mathbf{options}}\mathbf{.}{\mathbf{state}}$.
On exit:
${\mathbf{options}}\mathbf{.}{\mathbf{hesl}}$ and
${\mathbf{options}}\mathbf{.}{\mathbf{hesd}}$ hold the factors
$L$ and
$D$ corresponding to the final point given in
x. The elements of
${\mathbf{options}}\mathbf{.}{\mathbf{hesd}}$ are useful for deciding whether to accept the result produced by
e04kbc (see
Section 9).
On exit: the number of iterations which have been performed in e04kbc.
On exit: the number of times the residuals have been evaluated (i.e., number of calls of
objfun).
11.3
Description of Printed Output
The level of printed output can be controlled with the structure members
${\mathbf{options}}\mathbf{.}{\mathbf{list}}$ and
${\mathbf{options}}\mathbf{.}{\mathbf{print\_level}}$ (see
Section 11.2). If
${\mathbf{options}}\mathbf{.}{\mathbf{list}}=\mathrm{Nag\_TRUE}$ then the argument values to
e04kbc are listed, whereas the printout of results is governed by the value of
${\mathbf{options}}\mathbf{.}{\mathbf{print\_level}}$. The default of
${\mathbf{options}}\mathbf{.}{\mathbf{print\_level}}=\mathrm{Nag\_Soln\_Iter}$ provides a single line of output at each iteration and the final result. This section describes all of the possible levels of results printout available from
e04kbc.
When
${\mathbf{options}}\mathbf{.}{\mathbf{print\_level}}=\mathrm{Nag\_Iter}$ or
$\mathrm{Nag\_Soln\_Iter}$ a single line of output is produced on completion of each iteration, this gives the following values:
Itn 
the iteration count, $k$. 
Nfun 
the cumulative number of calls to objfun. 
Objective 
the current value of the objective function, $F\left({x}^{\left(k\right)}\right)$ 
Norm g 
the Euclidean norm of the projected gradient vector, $\Vert {g}_{z}\left({x}^{\left(k\right)}\right)\Vert $. 
Norm x 
the Euclidean norm of ${x}^{\left(k\right)}$. 
Norm(x(k1)x(k)) 
the Euclidean norm of ${x}^{\left(k1\right)}{x}^{\left(k\right)}$. 
Step 
the step ${\alpha}^{\left(k\right)}$ taken along the computed search direction ${p}^{\left(k\right)}$. 
Cond H 
the ratio of the largest to the smallest element of the diagonal factor $D$ of the projected Hessian matrix. This quantity is usually a good estimate of the condition number of the projected Hessian matrix. (If no variables are currently free, this value will be zero.) 
When ${\mathbf{options}}\mathbf{.}{\mathbf{print\_level}}=\mathrm{Nag\_Soln}$, $\mathrm{Nag\_Soln\_Iter}$ or $\mathrm{Nag\_Soln\_Full}$ this single line of output is also produced for the final solution.
When
${\mathbf{options}}\mathbf{.}{\mathbf{print\_level}}=\mathrm{Nag\_Soln\_Iter\_Full}$ more detailed results are given at each iteration. Additional values output are:
x 
the current point ${x}^{\left(k\right)}$. 
g 
the current projected gradient vector, ${g}_{z}\left({x}^{\left(k\right)}\right)$. 
Status 
the current state of the variable with respect to its bound(s). 
If
${\mathbf{options}}\mathbf{.}{\mathbf{print\_level}}=\mathrm{Nag\_Soln}$,
$\mathrm{Nag\_Soln\_Iter}$ or
$\mathrm{Nag\_Soln\_Iter\_Full}$ the final result is printed out. This consists of:
x 
the final point, ${x}^{*}$. 
g 
the final projected gradient vector, ${g}_{z}\left({x}^{*}\right)$. 
Status 
the final state of the variable with respect to its bound(s). 
If ${\mathbf{options}}\mathbf{.}{\mathbf{print\_level}}=\mathrm{Nag\_NoPrint}$ then printout will be suppressed; you can print the final solution when e04kbc returns to the calling program.
11.3.1
Output of results via a userdefined printing function
You may also specify your own print function for output of iteration results and the final solution by use of the ${\mathbf{options}}\mathbf{.}{\mathbf{print\_fun}}$ function pointer, which has prototype
The rest of this section can be skipped if the default printing facilities provide the required functionality.
When a userdefined function is assigned to
${\mathbf{options}}\mathbf{.}{\mathbf{print\_fun}}$ this will be called in preference to the internal print function of
e04kbc. Calls to the userdefined function are again controlled by means of the
${\mathbf{options}}\mathbf{.}{\mathbf{print\_level}}$ member. Information is provided through
st and
comm, the two structure arguments to
${\mathbf{options}}\mathbf{.}{\mathbf{print\_fun}}$.
The results contained in the members of
st are those on completion of the last iteration or those after a local search. (An iteration may be followed by a local search (see
${\mathbf{options}}\mathbf{.}{\mathbf{local\_search}}$,
Section 11.2) in which case
${\mathbf{options}}\mathbf{.}{\mathbf{print\_fun}}$ is called with the results of the last iteration (
$\mathbf{st}\mathbf{\to}\mathbf{local\_search}=\mathrm{Nag\_FALSE}$) and then again when the local search has been completed (
$\mathbf{st}\mathbf{\to}\mathbf{local\_search}=\mathrm{Nag\_TRUE}$).)
If $\mathbf{comm}\mathbf{\to}\mathbf{it\_prt}=\mathrm{Nag\_TRUE}$ then the results on completion of an iteration of e04kbc are contained in the members of st. If $\mathbf{comm}\mathbf{\to}\mathbf{sol\_prt}=\mathrm{Nag\_TRUE}$ then the final results from e04kbc, including details of the final iteration, are contained in the members of st. In both cases, the same members of st are set, as follows:
 iter – Integer

The current iteration count, $k$, if $\mathbf{comm}\mathbf{\to}\mathbf{it\_prt}=\mathrm{Nag\_TRUE}$; the final iteration count, $k$, if $\mathbf{comm}\mathbf{\to}\mathbf{sol\_prt}=\mathrm{Nag\_TRUE}$.
 n – Integer

The number of variables.
 x – double *

The coordinates of the point ${x}^{\left(k\right)}$.
 f – double *

The value of the current objective function.
 g – double *

Points to the
n memory locations holding the first derivatives of
$F$ at the current point
${x}^{\left(k\right)}$.
 gpj_norm – double *

The Euclidean norm of the current projected gradient ${g}_{z}$.
 step – double *

The step ${\alpha}^{\left(k\right)}$ taken along the search direction ${p}^{\left(k\right)}$.
 cond – double *

The estimate of the condition number of the Hessian matrix.
 xk_norm – double *

The Euclidean norm of ${x}^{\left(k1\right)}{x}^{\left(k\right)}$.
 state – Integer

The status of variables
${x}_{j}$,
$j=1,2,\dots ,n$, with respect to their bounds. See
Section 3 for a description of the possible status values.
 local_search – Nag_Boolean

Nag_TRUE if a local search has been performed.
 nf – Integer

The cumulative number of calls made to
objfun.
The relevant members of the structure
comm are:
 it_prt – Nag_Boolean

Will be Nag_TRUE when the print function is called with the results of the current iteration.
 sol_prt – Nag_Boolean

Will be Nag_TRUE when the print function is called with the final result.
 user – double *
 iuser – Integer *
 p – Pointer

Pointers for communication of user information. If used they must be allocated memory either before entry to
e04kbc or during a call to
objfun or
${\mathbf{options}}\mathbf{.}{\mathbf{print\_fun}}$. The type Pointer will be
void * with a C compiler that defines
void * and
char * otherwise.