Direct Search Based on Probabilistic Descent

DOI10.1137/140961602zbMath1327.90395DBLPjournals/siamjo/GrattonRVZ15OpenAlexW2098733422WikidataQ58040494 ScholiaQ58040494MaRDI QIDQ5502242

Zaikun Zhang, C. W. Royer, Serge Gratton, Luis Nunes Vicente

Publication date: 18 August 2015

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

Full work available at URL: http://oatao.univ-toulouse.fr/16987/1/gratton_16987.pdf

zbMATH Keywords

pollingderivative-free optimizationrandom directionsdirect-search methodspositive spanning setsprobabilistic descent

Mathematics Subject Classification ID

Abstract computational complexity for mathematical programming problems (90C60) Derivative-free methods and methods using generalized derivatives (90C56) Randomized algorithms (68W20)

Related Items (26)

Full-low evaluation methods for derivative-free optimization ⋮ On the optimal order of worst case complexity of direct search ⋮ Efficient unconstrained black box optimization ⋮ Optimal 3D printing of complex objects in a \(5\)-axis printer ⋮ Global convergence rate analysis of unconstrained optimization methods based on probabilistic models ⋮ Exploiting Problem Structure in Derivative Free Optimization ⋮ Global Linear Convergence of Evolution Strategies on More than Smooth Strongly Convex Functions ⋮ A note on the worst-case complexity of nonlinear stepsize control methods for convex smooth unconstrained optimization ⋮ Scalable subspace methods for derivative-free nonlinear least-squares optimization ⋮ Zeroth-order optimization with orthogonal random directions ⋮ Direct search based on probabilistic feasible descent for bound and linearly constrained problems ⋮ Direct Search Based on Probabilistic Descent in Reduced Spaces ⋮ On the complexity of a stochastic Levenberg-Marquardt method ⋮ Global optimization using random embeddings ⋮ Quadratic regularization methods with finite-difference gradient approximations ⋮ Hill-Climbing Algorithm with a Stick for Unconstrained Optimization Problems ⋮ Direct search methods on reductive homogeneous spaces ⋮ Optimality of orders one to three and beyond: characterization and evaluation complexity in constrained nonconvex optimization ⋮ Worst-case complexity bounds of directional direct-search methods for multiobjective optimization ⋮ Second-order optimality and beyond: characterization and evaluation complexity in convexly constrained nonlinear optimization ⋮ A second-order globally convergent direct-search method and its worst-case complexity ⋮ Stochastic Three Points Method for Unconstrained Smooth Minimization ⋮ Derivative-free optimization methods ⋮ Expected complexity analysis of stochastic direct-search ⋮ Whitney's theorem, triangular sets, and probabilistic descent on manifolds ⋮ Recent advances in trust region algorithms

Uses Software

• CUTEr

Cites Work

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• Analysis of direct searches for discontinuous functions
• Globally convergent evolution strategies
• Worst case complexity of direct search
• A derivative-free nonmonotone line-search technique for unconstrained optimization
• Random gradient-free minimization of convex functions
• Iteration complexity of randomized block-coordinate descent methods for minimizing a composite function
• Efficiency of Coordinate Descent Methods on Huge-Scale Optimization Problems
• Convergence of Trust-Region Methods Based on Probabilistic Models
• Probability and Stochastics
• On the Convergence of Pattern Search Algorithms
• A note on a method for generating points uniformly on n -dimensional spheres
• Using Sampling and Simplex Derivatives in Pattern Search Methods
• Introduction to Derivative-Free Optimization
• Analysis of Generalized Pattern Searches
• On the Local Convergence of Pattern Search
• A Merit Function Approach for Direct Search
• CUTEr and SifDec
• Mesh Adaptive Direct Search Algorithms for Constrained Optimization
• Theory of Positive Linear Dependence
• Probability
• Concentration of Measure for the Analysis of Randomized Algorithms
• Worst case complexity of direct search under convexity

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