A Log-Barrier Newton-CG Method for Bound Constrained Optimization with Complexity Guarantees

We describe an algorithm based on a logarithmic barrier function, Newton’s method, and linear conjugate gradients, that obtains an approximate minimizer of a smooth function over the nonnegative orthant. We develop a bound on the complexity of the approach, stated in terms of the required accuracy and the cost of a single gradient evaluation of … Read more

Line search and convergence in bound-constrained optimization

The first part of this paper discusses convergence properties of a new line search method for the optimization of continuously differentiable functions with Lipschitz continuous gradient. The line search uses (apart from the gradient at the current best point) function values only. After deriving properties of the new, in general curved, line search, global convergence … Read more

BFO, a trainable derivative-free Brute Force Optimizer for nonlinear bound-constrained optimization and equilibrium computations with continuous and discrete variables

A direct-search derivative-free Matlab optimizer for bound-constrained problems is described, whose remarkable features are its ability to handle a mix of continuous and discrete variables, a versatile interface as well as a novel self-training option. Its performance compares favourably with that of NOMAD, a state-of-the art package. It is also applicable to multilevel equilibrium- or … Read more

Globally convergent DC trust-region methods

In this paper, we investigate the use of DC (Difference of Convex functions) models and algorithms in the solution of nonlinear optimization problems by trust-region methods. We consider DC local models for the quadratic model of the objective function used to compute the trust-region step, and apply a primal-dual subgradient method to the solution of … Read more

Stopping rules and backward error analysis for bound-constrained optimization

Termination criteria for the iterative solution of bound-constrained optimization problems are examined in the light of backward error analysis. It is shown that the problem of determining a suitable perturbation on the problem’s data corresponding to the definition of the backward error is analytically solvable under mild assumptions. Moreover, a link between existing termination criteria … Read more

PSwarm: A Hybrid Solver for Linearly Constrained Global Derivative-Free Optimization

PSwarm was developed originally for the global optimization of functions without derivatives and where the variables are within upper and lower bounds. The underlying algorithm used is a pattern search method, more specifically a coordinate search method, which guarantees convergence to stationary points from arbitrary starting points. In the (optional) search step of coordinate search, … Read more

Developments of NEWUOA for unconstrained minimization without derivatives

The NEWUOA software is described briefly, with some numerical results that show good efficiency and accuracy in the unconstrained minimization without derivatives of functions of up to 320 variables. Some preliminary work on an extension of NEWUOA that allows simple bounds on the variables is also described. It suggests a variation of a technique in … Read more