info:eu-repo/semantics/article
Active-set strategy in Powell's method for optimization without derivatives
Registro en:
Arouxet, Maria Belen; Echebest, Nélida Ester; Pilotta, Elvio Angel; Active-set strategy in Powell's method for optimization without derivatives; Sociedade Brasileira de Matemática Aplicada e Computacional; Computational And Applied Mathematics; 30; 1; 1-2011; 171-196
0101-8205
CONICET Digital
CONICET
Autor
Arouxet, Maria Belen
Echebest, Nélida Ester
Pilotta, Elvio Angel
Resumen
In this article we present an algorithm for solving bound constrained optimization problems without derivatives based on Powell´s method [38] for derivative-free optimization. First we consider the unconstrained optimization problem. At each iteration a quadratic interpolation model of the objective function is constructed around the current iterate and this model is minimized to obtain a new trial point. The whole process is embedded within a trust-region framework. Our algorithm uses infinity norm instead of the Euclidean norm and we solve a box constrained quadratic subproblem using an active-set strategy to explore faces of the box. Therefore, a bound constrained optimization algorithm is easily extended. We compare our implementation with NEWUOA and BOBYQA, Powell´s algorithms for unconstrained and bound constrained derivative free optimization respectively. Numerical experiments show that, in general, our algorithm require less functional evaluations than Powell´s algorithms. Fil: Arouxet, Maria Belen. Universidad Nacional de La Plata. Facultad de Ciencias Exactas. Departamento de Matemáticas; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina Fil: Echebest, Nélida Ester. Universidad Nacional de La Plata. Facultad de Ciencias Exactas. Departamento de Matemáticas; Argentina Fil: Pilotta, Elvio Angel. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Córdoba. Centro de Investigación y Estudios de Matemática. Universidad Nacional de Córdoba. Centro de Investigación y Estudios de Matemática; Argentina. Universidad Nacional de Córdoba; Argentina