derivate-free optimization – Optimization Online

Non-monotone direct-search methods for deterministic and stochastic derivative-free optimization

Published: 2026/09/10

Nonlinear Optimization, Stochastic Programming derivate-free optimization, direct search, Non-monotone methods, worst-case complexity

In derivative-free optimization (DFO), one minimizes functions for which the gradient is unavailable or expensive to compute. In many applications, objective function values and gradients are noisy due to simulations or system randomness. A class of standard direct-search methods for DFO accept a trial point when it decreases the objective function by an amount proportional … Read more

Order-based error for managing ensembles of surrogates in derivative-free optimization

Published: 2016/06/10, Updated: 2018/02/16

Constrained Nonlinear Optimization, Nonlinear Optimization, Nonsmooth Optimization derivate-free optimization, ensemble of surrogates, mads, order error

We investigate surrogate-assisted strategies for derivative-free optimization using the mesh adaptive direct search (MADS) blackbox optimization algorithm. In particular, we build an ensemble of surrogate models to be used within the search step of MADS, and examine different methods for selecting the best model for a given problem at hand. To do so, we introduce … Read more