Find the global minimum of a smooth function

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MRC on 28 Apr 2014
Edited: Alan Weiss on 30 Apr 2014
I have a smooth non-negative function of a parameter theta (attached) which should be minimized with respect to theta; which solver of Matlab derivative-free would you recommend to find the global minimum of that function? At the moment I'm using simulated annealing but it's very slow and I would like to find something more efficient.

Accepted Answer

Alan Weiss
Alan Weiss on 30 Apr 2014
Edited: Alan Weiss on 30 Apr 2014
The documentation has recommendations for solvers for nonsmooth problems in the following order (assuming theta is multidimensional):
  1. patternsearch
  2. fminsearch, if the dimension is not too high
  3. ga
  4. simulated annealing
You may need to start your solver from a variety of initial points to try to locate a global minimum.
Alan Weiss
MATLAB mathematical toolbox documentation

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