Wedge trust region methods for derivative free optimization
نویسندگان
چکیده
منابع مشابه
Wedge trust region methods for derivative free optimization
A new method for derivative-free optimization is presented. It is designed for solving problems in which the objective function is smooth and the number of variables is moderate, but the gradient is not available. The method generates a model that interpolates the objective function at a set of sample points, and uses trust regions to promote convergence. The step-generation subproblem ensures ...
متن کاملSurvey of Trust-region Derivative Free Optimization Methods
In this survey article we give the basic description of the interpolation based derivative free optimization methods and their variants. We review the recent contributions dealing with the maintaining the geometry of the interpolation set, the management of the trust region radius and the stopping criteria. Derivative free algorithms developed for problems with some structure like for partially...
متن کاملA Derivative-Free Trust-Region Method for Reliability-Based Optimization
Many engineering problems require to optimize the system performance subject to reliability constraints, and this type of problems are commonly referred to as the reliability based optimization (RBO) problems. In this work we propose a derivativefree trust-region (DF-TR) based algorithm to solve the RBO problems. In particular, we are focused on the type of RBO problems where the objective func...
متن کاملA trust-region derivative-free algorithm for constrained optimization
We propose a trust-region algorithm for constrained optimization problems in which the derivatives of the objective function are not available. In each iteration, the objective function is approximated by a model obtained by quadratic interpolation, which is then minimized within the intersection of the feasible set with the trust region. Since the constraints are handled in the trust-region su...
متن کاملDerivative Free Trust Region Algorithms for Stochastic Optimization
In this article we study the following stochastic optimization problem. Let (Ω,F ,P) be a probability space. Let ζ(ω) (where ω denotes a generic element of Ω) be a random variable on (Ω,F ,P), taking values in the probability space (Ξ,G,Q), where Q denotes the probability measure of ζ. Suppose for some open set E ⊂ R, F : E × Ξ → R is a real-valued function such that for each x ∈ E , F (x, ·) :...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematical Programming
سال: 2002
ISSN: 0025-5610,1436-4646
DOI: 10.1007/s101070100264