An interior point method for nonlinear constrained derivative-free optimization
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Publication:6375003
arXiv2108.05157MaRDI QIDQ6375003FDOQ6375003
Authors: Andrea Brilli, Giampaolo Liuzzi, Stefano Lucidi 
Publication date: 11 August 2021
Abstract: In this paper we consider constrained optimization problems where both the objective and constraint functions are of the black-box type. Furthermore, we assume that the nonlinear inequality constraints are non-relaxable, i.e. their values and that of the objective function cannot be computed outside of the feasible region. This situation happens frequently in practice especially in the black-box setting where function values are typically computed by means of complex simulation programs which may fail to execute if the considered point is outside of the feasible region. For such problems, we propose a new derivative-free optimization method which is based on the use of a merit function that handles inequality constraints by means of a log-barrier approach and equality constraints by means of a quadratic penalty approach. We prove convergence of the proposed method to KKT stationary points of the problem under quite mild assumptions. Furthermore, we also carry out a preliminary numerical experience on standard test problems and comparison with a state-of-the-art solver which shows efficiency of the proposed method.
Numerical mathematical programming methods (65K05) Nonlinear programming (90C30) Derivative-free methods and methods using generalized derivatives (90C56)
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