Layne T. Watson


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 subroutine, which offers several parallel decomposition strategies, and the serial driver subroutine can be used for local stochastic search or global deterministic search, based on an input switch. Some performance data for computational systems biology problems is given.


Layne T. Watson

Publication Details

Date of publication:
May 18, 2020
ACM Transactions on Mathematical Software
Page number(s):
Issue Number:
Publication note:

Brandon D. Amos, David R. Easterling, Layne T. Watson, William I. Thacker, Brent S. Castle, Michael W. Trosset: Algorithm 1007: QNSTOP - Quasi-Newton Algorithm for Stochastic Optimization. ACM Trans. Math. Softw. 46(2): 17:1-17:20 (2020)