Optimization by moving ridge functions: derivative-free optimization for computationally intensive functions

DOI10.1080/0305215X.2021.1886286zbMATH Open1523.90318arXiv2007.04893OpenAlexW3129312316MaRDI QIDQ6094491FDOQ6094491

Authors: Geoffrey T. Parks 

Publication date: 10 October 2023

Published in: Engineering Optimization (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/2007.04893

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zbMATH Keywords

dimension reductionnonlinear optimizationderivative-free optimizationtrust region methodsridge functions

Mathematics Subject Classification ID

Methods of successive quadratic programming type (90C55) Nonconvex programming, global optimization (90C26) Nonlinear programming (90C30) Derivative-free methods and methods using generalized derivatives (90C56)

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Cited In (8)

• A subset-selection-based derivative-free optimization algorithm for dynamic operation optimization in a steel-making process
• Stochastic trust-region algorithm in random subspaces with convergence and expected complexity analyses
• Scalable subspace methods for derivative-free nonlinear least-squares optimization
• Optimization algorithm based on densification and dynamic canonical descent
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• Derivative-free optimization of expensive functions with computational error using weighted regression
• Branch-and-Model: a derivative-free global optimization algorithm

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