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A class of derivative-free nonmonotone optimization algorithms employing coordinate rotations and gradient approximations

Luigi Grippo (grippo***at***dis.uniroma1.it)
Francesco Rinaldi (rinaldi***at***math.unipd.it)

Abstract: In this paper we study a class of derivative-free unconstrained minimization algorithms employing nonmonotone inexact linesearch techniques along a set of suitable search directions. In particular, we define globally convergent nonmonotone versions of some well-known derivative-free methods and we propose a new algorithm combining coordinate rotations with approximate simplex gradients. Through extensive numerical experimentation, we show that the proposed algorithm is highly competitive in comparison with some of the most efficient direct search methods and model based methods on a large set of test problems.

Keywords: Derivative-free Methods, Nonmonotone Techniques, Unconstrained Optimization.

Category 1: Nonlinear Optimization

Category 2: Nonlinear Optimization (Unconstrained Optimization )


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Entry Submitted: 02/20/2013
Entry Accepted: 02/20/2013
Entry Last Modified: 02/20/2013

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