Optimization by moving ridge functions: derivative-free optimization for computationally intensive functions
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Publication:6094491
Abstract: A novel derivative-free algorithm, optimization by moving ridge functions (OMoRF), for unconstrained and bound-constrained optimization is presented. This algorithm couples trust region methodologies with output-based dimension reduction to accelerate convergence of model-based optimization strategies. The dimension-reducing subspace is updated as the trust region moves through the function domain, allowing OMoRF to be applied to functions with no known global low-dimensional structure. Furthermore, its low computational requirement allows it to make rapid progress when optimizing high-dimensional functions. Its performance is examined on a set of test problems of moderate to high dimension and a high-dimensional design optimization problem. The results show that OMoRF compares favourably to other common derivative-free optimization methods, even for functions in which no underlying global low-dimensional structure is known.
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Cited in
(11)- \(Q\)-fully quadratic modeling and its application in a random subspace derivative-free method
- A subset-selection-based derivative-free optimization algorithm for dynamic operation optimization in a steel-making process
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