Derivative-free optimization methods
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simulationconvergenceminimaxalgorithmcomplexityaugmented Lagrangianlocal and global optimizationstochasticpenaltymulti-objectiveconstrainedGPSMADSbilevelmultistartSQPderivative free optimizationDDSunconstrainedcomposite non smoothmulti fidelityTrust Regionunder estimatorWCC
Numerical mathematical programming methods (65K05) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02) Computational methods for problems pertaining to operations research and mathematical programming (90-08) Derivative-free methods and methods using generalized derivatives (90C56)
Abstract: In many optimization problems arising from scientific, engineering and artificial intelligence applications, objective and constraint functions are available only as the output of a black-box or simulation oracle that does not provide derivative information. Such settings necessitate the use of methods for derivative-free, or zeroth-order, optimization. We provide a review and perspectives on developments in these methods, with an emphasis on highlighting recent developments and on unifying treatment of such problems in the non-linear optimization and machine learning literature. We categorize methods based on assumed properties of the black-box functions, as well as features of the methods. We first overview the primary setting of deterministic methods applied to unconstrained, non-convex optimization problems where the objective function is defined by a deterministic black-box oracle. We then discuss developments in randomized methods, methods that assume some additional structure about the objective (including convexity, separability and general non-smooth compositions), methods for problems where the output of the black-box oracle is stochastic, and methods for handling different types of constraints.
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- Budget-Dependent Convergence Rate of Stochastic Approximation
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- Optimization of convex functions with random pursuit
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- Scattered Data Approximation
- Second-Order Behavior of Pattern Search
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- Sequential Application of Simplex Designs in Optimisation and Evolutionary Operation
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- Surrogate Optimization of Computationally Expensive Black-Box Problems with Hidden Constraints
- Surrogate‐based methods for black‐box optimization
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- The calculus of simplex gradients
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- Theory of Positive Linear Dependence
- Trust Region Methods
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- Two-Point Step Size Gradient Methods
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