1. Limited time only! Sign up for a free 30min personal tutor trial with Chegg Tutors
    Dismiss Notice
Dismiss Notice
Join Physics Forums Today!
The friendliest, high quality science and math community on the planet! Everyone who loves science is here!

Algorithm for multidimensional constrained root finding

  1. Jan 27, 2013 #1
    Hi all,

    I'm looking for an algorithm for multidimensional constrained root finding, implemented in Fortran. It's intended for finding a steady-state solution for a dynamic model. I have n state variables and n coupled differential equations (n~=60), and I need to find the value for the state variables at which the rate of change is zero.

    Currently I'm working with an adapted version of Newton-Raphson taken from Numerical Recipes, but this algorithm doesn't support bounds and the solver has a tendency to converge on impossible values. Actually, it seems that not many multidimensional algorithms support bounds. I found an implementation of BFGS (http://hod.greeley.org/papers/Unsorted/lbfgsb.pdf) that supports constraints, but I'm not sure if this suitable for my purpose. From what I understand, not every minimization algorithm is suitable for root finding.
    Can anyone tell me if the BGFS algorithm is suitable for root finding, or suggest a better algorithm?

    Many thanks in advance!
     
  2. jcsd
Know someone interested in this topic? Share this thread via Reddit, Google+, Twitter, or Facebook

Can you offer guidance or do you also need help?
Draft saved Draft deleted



Similar Discussions: Algorithm for multidimensional constrained root finding
Loading...