mex interface for bound constrained optimization via ASA
Updated 23 Jan 2018
ASA (Active-Set Algorithm) is a bound constrained optimization program developed W. W. Hager and H. Zhang. In recent academic tests (e.g. "Evaluating bound-constrained minimization software" by E. Birgin and J. Gentil, 2011) it has been shown to be very fast (even faster than L-BFGS-B).
The original code (see http://users.clas.ufl.edu/hager/papers/CG/ and http://users.clas.ufl.edu/hager/papers/CG/asa.pdf) is written in C. This Matlab package is a mex gateway routine, along with a simple sample file that gets you started.
It requires you to compile with the mex compiler, but there are no necessary libraries, so if you have a C compiler, it should be very straightforward.
The test_ASA.m file installs everything: it downloads the C files, and it runs the mex compiler. The file also has a little test, and it shows how to make an example with non-negative least-squares (NNLS). For the NNLS problem, I include 3 driver routines that use an additional input of parameters so that you can re-use those functions even when parameters change; this trick should be useful for other problems.
The ASA method uses an active-set approach, and a state-of-the-art non-linear CG algorithm ("cg_descent") to solve the subproblems. Info available at http://www.math.ufl.edu/~hager/papers/CG/asa.pdf
This mex interface works with v2.2 of their code; there are no guarantees it will work with a future version. It should work with any version of Matlab.
Update (2018): the wrapper is adapted to work with v3.0 of their code, though it has not been extensively checked
Stephen Becker (2023). mex interface for bound constrained optimization via ASA (https://www.mathworks.com/matlabcentral/fileexchange/35814-mex-interface-for-bound-constrained-optimization-via-asa), MATLAB Central File Exchange. Retrieved .
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Now gives user the option to download ASA-CG ver 3.0 (the default) rather than the older ver 2.2; also, updated links to Hager's new website.
The new mex file is compatible with a wider variety of compilers now
Making it more powerful by allowing extra options parameter, and showing an example with NNLS. Also incorporating suggestions by James Tursa.