added NEWUOA_BOUND

[nlopt.git] / newuoa / README

diff --git a/newuoa/README b/newuoa/README
index 1af84c3fdaedb3808a74ba6615f88d230ce949d9..8d21fdc04cdafbf7d9945f074fd06163d125e41e 100644 (file)
--- a/newuoa/README
+++ b/newuoa/README
@@ -10,6 +10,19 @@ The C translation by S. G. Johnson (2008) includes a few minor
 modifications, mainly to use the NLopt stopping criteria (and to
 take the objective function as an argument rather than a global).
 
+The C translation also includes a variant (NEWUOA_BOUND, when the lb
+and ub parameters to newuoa are non-NULL) that is substantially
+modified in order to support bound constraints on the input variables.
+In the original NEWUOA algorithm, Powell solved the quadratic
+subproblems (in routines TRSAPP and BIGLAG) in a spherical trust
+region via a truncated conjugate-gradient algorithm.  In the new
+variant, we use the MMA algorithm for these subproblems to solve them
+with both bound constraints and a spherical trust region.  In principle,
+we should also change the BIGDEN subroutine in a similar way (since
+BIGDEN also approximately solves a trust-region subproblem), but instead
+I just truncated its result to the bounds (which probably gives suboptimal
+convergence, but BIGDEN is called only very rarely in practice).
+
 The original Fortran code was released by Powell with "no restrictions
 or charges", and the C translation by S. G. Johnson is released under
 the MIT License (see the COPYRIGHT file in this directory).