Optimization Online


Globally Convergent Evolution Strategies for Constrained Optimization.

Y. Diouane(youssef.diouane***at***gmail.com)
S. Gratton(serge.gratton***at***enseeiht.fr)
L. N. Vicente(lnv***at***mat.uc.pt)

Abstract: In this work we propose, analyze, and test algorithms for linearly constrained optimization when no use of derivatives of the objective function is made. The proposed methodology is built upon the globally convergent evolution strategies previously introduced by the authors for unconstrained optimization. Two approaches are encompassed to handle the constraints. In a first approach, feasibility is first enforced by a barrier function and the objective function is then evaluated directly at the feasible generated points. A second approach projects first all the generated points onto the feasible domain before evaluating the objective function. The resulting algorithms enjoy favorable global convergence properties (convergence to stationarity from arbitrary starting points), regardless of the linearity of the constraints. The algorithmic implementation (i) includes a step where previously evaluated points are used to accelerate the search (by minimizing quadratic models) and (ii) addresses general linearly constrained optimization. Our solver is compared to others, and the numerical results confirm its competitiveness in terms of efficiency and robustness.

Keywords: evolution strategies, constrained optimization, global convergence, extreme barrier function, projection, search step, quadratic models, bound and linear constraints.

Category 1: Nonlinear Optimization (Constrained Nonlinear Optimization )

Citation: TR-PA-14-50, CERFACS Toulouse, 07/2014

Download: [PDF]

Entry Submitted: 07/15/2014
Entry Accepted: 07/15/2014
Entry Last Modified: 07/15/2014

Modify/Update this entry

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


Coordinator's Board
Classification Scheme
Give us feedback
Optimization Journals, Sites, Societies
Mathematical Optimization Society