Structure-Aware Methods for Expensive Derivative-Free Nonsmooth Composite Optimization
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Abstract: We present new methods for solving a broad class of bound-constrained nonsmooth composite minimization problems. These methods are specially designed for objectives that are some known mapping of outputs from a computationally expensive function. We provide accompanying implementations of these methods: in particular, a novel manifold sampling algorithm (mspshortref) with subproblems that are in a sense primal versions of the dual problems solved by previous manifold sampling methods and a method (goombahref) that employs more difficult optimization subproblems. For these two methods, we provide rigorous convergence analysis and guarantees. We demonstrate extensive testing of these methods. Open-source implementations of the methods developed in this manuscript can be found at url{github.com/POptUS/IBCDFO/}.
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