Artículos de revistas
A Derivative-free Nonmonotone Line-search Technique For Unconstrained Optimization
Registro en:
Journal Of Computational And Applied Mathematics. , v. 219, n. 2, p. 383 - 397, 2008.
3770427
10.1016/j.cam.2007.07.017
2-s2.0-46749084262
Autor
Diniz-Ehrhardt M.A.
Martinez J.M.
Raydan M.
Institución
Resumen
A tolerant derivative-free nonmonotone line-search technique is proposed and analyzed. Several consecutive increases in the objective function and also nondescent directions are admitted for unconstrained minimization. To exemplify the power of this new line search we describe a direct search algorithm in which the directions are chosen randomly. The convergence properties of this random method rely exclusively on the line-search technique. We present numerical experiments, to illustrate the advantages of using a derivative-free nonmonotone globalization strategy, with approximated-gradient type methods and also with the inverse SR1 update that could produce nondescent directions. In all cases we use a local variation finite differences approximation to the gradient. © 2007 Elsevier B.V. All rights reserved. 219 2 383 397 Alberto, P., Nogueira, F., Rocha, H., Vicente, L.N., Pattern search methods for user-provided points: application to molecular geometry problems (2004) SIAM J. Opt., 14, pp. 1216-1236 Allaire, G., (2001) Shape Optimization by the Homogenization Method, , Springer, New York Barzilai, J., Borwein, J.M., Two point step size gradient methods (1988) IMA J. Numer. Anal., 8, pp. 141-148 Van den Berghen, F., Bersini, H., CONDOR, a new parallel, constrained extension of Powell's UOBYQA algorithm: experimental results and comparison with the DFO algorithm (2005) J. Comput. Appl. Math., 181, pp. 157-175 Birgin, E.G., Martínez, J.M., Raydan, M., Inexact spectral gradient method for convex-constrained optimization (2003) IMA J. Numer. Anal., 23, pp. 539-559 Brezinski, C., Matos, A.C., A derivation of extrapolation algorithms based on error estimates (1996) J. Comput. Appl. Math., 66, pp. 5-26 C. Brezinski, M. Redivo Zaglia, Extrapolation Methods, Theory and Practice, North-Holland, Amsterdam, 1991Broyden, C.G., Quasi-Newton methods and their application to function minimization (1967) Math. Comput., 21, pp. 368-381 Byrd, R.H., Khalfan, H.F., Schnabel, R.B., Analysis of a rank-one trust region method (1996) SIAM J. Opt., 6, pp. 1025-1039 Conn, A.R., Gould, N.I.M., Toint, P.L., Convergence of quasi-Newton matrices generated by the symmetric rank one update (1991) Math. Programming, 50, pp. 177-195 Conn, A.R., Scheinberg, K., Toint, Ph.L., Recent progress in unconstrained nonlinear optimization without derivatives (1997) Math. Programming, 79, pp. 397-414 A. L. Custódio, J. E. Dennis Jr., L. N. Vicente, Using simplex gradients of nonsmooth functions in direct search methods, IMA J. Numer., to appearDavidon, W.C., Variance algorithms for minimization (1968) Comput. J., 10, pp. 406-410 Dennis Jr., J.E., Schnabel, R.B., (1983) Numerical Methods for Unconstrained Optimization and Nonlinear Equations, , Prentice-Hall, Englewood Cliffs, NJ Diniz-Ehrhardt, M.A., Gomes-Ruggiero, M.A., Lopes, V.L.R., Martínez, J.M., Discrete Newton's method with local variations and global convergence for nonlinear equations (2003) Optimization, 52, pp. 417-440 Fiacco, A.V., McCormick, G.P., (1968) Nonlinear Programming: Sequential Unconstrained Minimization Techniques, , Wiley, New York Fletcher, R., (1987) Practical Methods of Optimization, , Wiley, New York Gilmore, P., Kelley, C.T., An implicit filtering algorithm for optimization of functions with many local minima (1995) SIAM J. Opt., 5, pp. 269-285 Grippo, L., Lampariello, F., Lucidi, S., A nonmonotone line search technique for Newton's method (1986) SIAM J. Numer. Anal., 23, pp. 707-716 Haslinger, J., Mäckinen, R.A.E., (2003) Introduction to Shape Optimization: Theory, Approximation, and Computation, , SIAM, Philadelphia, PA Kolda, T.G., Lewis, R.M., Torczon, V., Optimization by direct search: new perspectives on some classical and modern methods (2003) SIAM Rev., 45, pp. 385-482 La Cruz, W., Martínez, J.M., Raydan, M., Spectral residual method without gradient information for solving large-scale nonlinear systems of equations (2006) Math. Comput., 75, pp. 1449-1466 Li, D.H., Fukushima, M., A derivative-free line search and global convergence of Broyden-like method for nonlinear equations (2000) Opt. Methods Software, 13, pp. 181-201 Lucidi, S., Sciandrone, M., On the global convergence of derivative-free methods for unconstrained optimization (2002) SIAM J. Opt., 13, pp. 97-116 Mohammadi, B., Pironneau, O., (2001) Applied Shape Optimization for Fluids, , Clarendon Press, Oxford Moré, J.J., Garbow, B.S., Hillstrom, K.E., Testing unconstrained optimization software (1981) ACM Trans. Math. Software, 7, pp. 17-41 Powell, M.J.D., Direct search algorithms for optimization calculations (1998) Acta Numer., 7, pp. 287-336 Powell, M.J.D., On trust region methods for unconstrained minimization without derivatives (2003) Math. Progamming, 97, pp. 605-623 Powell, M.J.D., On the use of quadratic models in unconstrained minimization without derivatives (2004) Opt. Methods Software, 19, pp. 399-411 Raydan, M., The Barzilai and Borwein gradient method for the large scale unconstrained minimization problem (1997) SIAM J. Opt., 7, pp. 26-33