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Algorithm 1007
May 2020 • Brandon Amos, David R. Easterling, Layne T. Watson, William I. Thacker, Brent S. Castle, Michael W. Trosset
QNSTOP consists of serial and parallel (OpenMP) Fortran 2003 codes for the quasi-Newton stochastic optimization method of Castle and Trosset for stochastic search problems. A complete description of QNSTOP for both local search with stochastic objective and global search with “noisy” deterministic objective is given here, to the best of our knowledge, for the first time. For stochastic search problems, some convergence theory exists for particular algorithmic choices and parameter values. Both the parallel driver …
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