Sobolev seminorm of quadratic functions with applications to derivative-free optimization

DOI10.1007/S10107-013-0679-3MaRDI QIDQ403635zbMATH OpenOpenAlexFDO

Publication date 29 August 2014

Published in Mathematical Programming. Series A. Series B (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1111.4576

derivative-free optimization least-norm interpolation Sobolev seminorm

Numerical mathematical programming methods (65K05) Nonlinear programming (90C30) Derivative-free methods and methods using generalized derivatives (90C56)

Abstract: This paper studies the

H^{1}

Sobolev seminorm of quadratic functions. The research is motivated by the least-norm interpolation that is widely used in derivative-free optimization. We express the

H^{1}

seminorm of a quadratic function explicitly in terms of the Hessian and the gradient when the underlying domain is a ball. The seminorm gives new insights into least-norm interpolation. It clarifies the analytical and geometrical meaning of the objective function in least-norm interpolation. We employ the seminorm to study the extended symmetric Broyden update proposed by Powell. Numerical results show that the new thoery helps improve the performance of the update. Apart from the theoretical results, we propose a new method of comparing derivative-free solvers, which is more convincing than merely counting the numbers of function evaluations.

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