derivative-free optimisation

Extrapolation-based Direct Search for Nonsmooth Stochastic Zeroth-Order Optimization

  • Anthony Palmieri
  • Francesco Rinaldi
  • Sara Shashaani
    • Categories Nonlinear Optimization, Nonsmooth Optimization, Stochastic Programming Tags , ,

    We propose and analyze a stochastic direct-search method for unconstrained zeroth-order minimization of locally Lipschitz, possibly nonsmooth, objectives. The method combines random polling directions with a stochastic extrapolating line search based on a sufficient-decrease test of order \(p\). Under conditional accuracy assumptions on the stochastic estimates, which can be verified for mean-zero finite-higher-moment oracle noise … Read more

    Using Partial Separability of Functions in Generating Set Search Methods for Unconstrained Optimisation

  • Lennart Frimannslund
  • Trond Steihaug
    • Categories Unconstrained Optimization Tags , , , , , ,

    Generating set Search Methods (GSS), a class of derivative-free methods for unconstrained optimisation, are in general robust but converge slowly. It has been shown that the performance of these methods can be enhanced by utilising accumulated information about the objective function as well as a priori knowledge such as partial separability. This paper introduces a … Read more