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Sobolev Seminorm of Quadratic Functions with Applications to Derivative-Free Optimization

Zaikun Zhang (zhangzk***at***lsec.cc.ac.cn)

Abstract: This paper studies the $H^1$ Sobolev seminorm of quadratic functions. The research is motivated by the least-norm interpolation that is widely used in derivative-free optimization. We express the $H^1$ seminorm of a quadratic function explicitly in terms of the Hessian and the gradient when the underlying domain is a ball. The seminorm gives new insights into least-norm interpolation. It clarifies the analytical and geometrical meaning of the objective function in least-norm interpolation. We employ the seminorm to study the extended symmetric Broyden update proposed by Powell. Numerical results show that the new thoery helps improve the performance of the update. Apart from the theoretical results, we propose a new method of comparing derivative-free solvers, which is more convincing than merely counting the number of function evaluations.

Keywords: Sobolev seminorm, least-norm interpolation, derivative-free optimization, Extended symmetric Broyden update

Category 1: Nonlinear Optimization (Unconstrained Optimization )

Citation: @article{zhang2013snq, title={Sobolev Seminorm of Quadratic Functions with Applications to Derivative-Free Optimization}, author={Zhang, Zaikun}, journal={Mathematical Programming}, year={2013}, publisher={Springer}, doi={10.1007/s10107-013-0679-3}, url={http://www.zhangzk.net/docs/publications/2013snq.pdf} }

Download: [PDF]

Entry Submitted: 11/19/2011
Entry Accepted: 11/19/2011
Entry Last Modified: 05/16/2013

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