Lindon Roberts – Page 2 – Optimization Online

Improving the Flexibility and Robustness of Model-Based Derivative-Free Optimization Solvers

Published: 2018/03/30, Updated: 2018/05/31

Nonlinear Optimization derivative-free optimization, mathematical software, nonlinear least squares, performance evaluation, stochastic optimization, trust-region methods

We present DFO-LS, a software package for derivative-free optimization (DFO) for nonlinear Least-Squares (LS) problems, with optional bound constraints. Inspired by the Gauss-Newton method, DFO-LS constructs simplified linear regression models for the residuals. DFO-LS allows flexible initialization for expensive problems, whereby it can begin making progress from as few as two objective evaluations. Numerical results … Read more

A derivative-free Gauss-Newton method

Published: 2017/10/30

Coralia Cartis

Lindon Roberts

Nonlinear Optimization derivative-free optimization, gauss-newton method, global convergence, least squares, trust-region methods, worst-case complexity

We present DFO-GN, a derivative-free version of the Gauss-Newton method for solving nonlinear least-squares problems. As is common in derivative-free optimization, DFO-GN uses interpolation of function values to build a model of the objective, which is then used within a trust-region framework to give a globally-convergent algorithm requiring $O(\epsilon^{-2})$ iterations to reach approximate first-order criticality … Read more