Model-based derivative-free methods for convex-constrained optimization
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Abstract: We present a model-based derivative-free method for optimization subject to general convex constraints, which we assume are unrelaxable and accessed only through a projection operator that is cheap to evaluate. We prove global convergence and a worst-case complexity of iterations and objective evaluations for nonconvex functions, matching results for the unconstrained case. We introduce new, weaker requirements on model accuracy compared to existing methods. As a result, sufficiently accurate interpolation models can be constructed only using feasible points. We develop a comprehensive theory of interpolation set management in this regime for linear and composite linear models. We implement our approach for nonlinear least-squares problems and demonstrate strong practical performance compared to general-purpose solvers.
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- scientific article; zbMATH DE number 3973706 (Why is no real title available?)
- scientific article; zbMATH DE number 653035 (Why is no real title available?)
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Cited in
(11)- A novel method for non-probabilistic convex modelling based on data from practical engineering
- A derivative-free comirror algorithm for convex optimization
- Model construction for convex-constrained derivative-free optimization
- Compositions of convex functions and fully linear models
- A feasible method for constrained derivative-free optimization
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- An inexact semismooth Newton SAA-based algorithm for stochastic nonsmooth SOC complementarity problems with application to a stochastic power flow programming problem
- Self-Correcting Geometry in Model-Based Algorithms for Derivative-Free Unconstrained Optimization
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