We extend direct search methods to optimization problems that include equality constraints given by Lipschitz functions. The equality constraints are assumed to implicitly define a Lipschitz manifold. Numerically implementing the inverse (implicit) function theorem allows us to define a new problem on the tangent spaces of the manifold. We can then use a direct search … Read more
A direct search method for the class of problems considered by Lewis and Torczon [\textit{SIAM J. Optim.}, 12 (2002), pp. 1075-1089] is developed. Instead of using an augmented Lagrangian method, a simplicial approximation method to the feasible set is implicitly employed. This allows the points our algorithm considers to conveniently remain within an \textit{a priori} … Read more
Generating set search (GSS) is a family of direct search methods that encompasses generalized pattern search and related methods. We describe an algorithm for asynchronous linearly-constrained GSS, which has some complexities that make it different from both the asynchronous bound-constrained case as well as the synchronous linearly-constrained case. The algorithm has been implemented in the … Read more
In this paper we develop, analyze, and test a new algorithm for the global minimization of a function subject to simple bounds without the use of derivatives. The underlying algorithm 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 … Read more
We describe scheduling algorithms for monitoring an information source whose contents change at times modeled by a nonhomogeneous Poisson process. In a given time period of length T, we enforce a politeness constraint that we may only probe the source at most n times. This constraint, along with an optional constraint that no two probes … Read more
APPSPACK is software for solving unconstrained and bound constrained optimization problems. It implements an asynchronous parallel pattern search method that has been specifically designed for problems characterized by expensive function evaluations. Using APPSPACK to solve optimization problems has several advantages: No derivative information is needed; the procedure for evaluating the objective function can be executed … Read more