-

 

 

 




Optimization Online





 

Benchmarking Derivative-Free Optimization Algorithms

Stefan Wild (smw58***at***cornell.edu)
Jorge Moré (more***at***mcs.anl.gov)

Abstract: We propose data profiles as a tool for analyzing the performance of derivative-free optimization solvers when there are constraints on the computational budget. We use performance and data profiles, together with a convergence test that measures the decrease in function value, to analyze the performance of three solvers on sets of smooth, noisy, and piecewise-smooth problems. Our results provide estimates for the performance difference between these solvers, and show that on these problems, a model-based solver performs better than geometry-based solvers, even for noisy and piecewise-smooth problems.

Keywords: Derivative-Free Optimization, Benchmarking, Performance Evaluation, Deterministic Simulations, Computational Budget.

Category 1: Nonlinear Optimization (Unconstrained Optimization )

Category 2: Optimization Software and Modeling Systems (Optimization Software Benchmark )

Citation: Preprint ANL/MCS-P1471-1207, Mathematics and Computer Science Division, Argonne National Laboratory, April 2008

Download: [PDF]

Entry Submitted: 01/13/2008
Entry Accepted: 01/13/2008
Entry Last Modified: 05/13/2008

Modify/Update this entry


  Visitors Authors More about us Links
  Subscribe, Unsubscribe
Digest Archive
Search, Browse the Repository

 

Submit
Update
Policies
Coordinator's Board
Classification Scheme
Credits
Give us feedback
Optimization Journals, Sites, Societies
Mathematical Programming Society