Solver-o-matic
"These days, even the most pure and abstract mathematics is in danger to be applied."
- Anonymous
Decision Tree for Nonsmooth Optimization Software
So, you need a derivative free
method or a method which automatically calculates the
difference approximations. Your first choice should
be Discrete Gradient Method (DGM)
for derivative free optimization by A. Bagirov, B. Karasozen
and M. Sezer. To apply DGM, you only need to compute at
every point the value of the objective function. The
subgradient will be approximated. The Fortran 77 source code
of DGM is available for downloading.
Not satisfied?
