INEXACT RESTORATION METHOD FOR DERIVATIVE-FREE OPTIMIZATION WITH SMOOTH CONSTRAINTS

Autor(es)

Bueno, L. F. ^[1] ; Friedlander, A. ^[2] ; Martinez, J. M. ^[2] ; Sobral, F. N. C. ^[3]

Afiliação do(s) autor(es)

^[1] Univ Fed Sao Paulo, Dept Sci & Technol, Sao Jose Dos Campos, SP - Brazil

^[2] Univ Estadual Campinas, Inst Math Stat & Sci Comp, Dept Appl Math, Campinas, SP - Brazil

^[3] Itau Unibanco, Div Res & Dev, Sao Paulo - Brazil

• Tipo de documento: Artigo Científico
• Fonte: SIAM JOURNAL ON OPTIMIZATION; v. 23, n. 2, p. 1189-1213, 2013.
• Citações Web of Science: 19

Resumo

A new method is introduced for solving constrained optimization problems in which the derivatives of the constraints are available but the derivatives of the objective function are not. The method is based on the inexact restoration framework, by means of which each iteration is divided in two phases. In the first phase one considers only the constraints, in order to improve feasibility. In the second phase one minimizes a suitable objective function subject to a linear approximation of the constraints. The second phase must be solved using derivative-free methods. An algorithm introduced recently by Kolda, Lewis, and Torczon for linearly constrained derivative-free optimization is employed for this purpose. Under usual assumptions, convergence to stationary points is proved. A computer implementation is described and numerical experiments are presented. (AU)

• Processo FAPESP: 07/06663-0 - Otimização de valor ordenado aplicada ao equilíbrio inverso de Nash
• Beneficiário: Luis Felipe Cesar da Rocha Bueno
• Modalidade de apoio: Bolsas no Brasil - Doutorado
• Processo FAPESP: 03/09169-6 - Desenvolvimento e aplicacao de metodos numericos para otimizacao continua de grande porte.
• Beneficiário: Ernesto Julián Goldberg Birgin
• Modalidade de apoio: Auxílio à Pesquisa - Regular
• Processo FAPESP: 06/53768-0 - Métodos computacionais de otimização
• Beneficiário: José Mário Martinez Perez
• Modalidade de apoio: Auxílio à Pesquisa - Temático
• Processo FAPESP: 08/00468-4 - Sistemas KKT
• Beneficiário: Francisco Nogueira Calmon Sobral
• Modalidade de apoio: Bolsas no Brasil - Doutorado