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A progressive barrier derivative-free trust-region algorithm for constrained optimization

Charles Audet (charles.audet***at***gerad.ca)
Andrew R. Conn (arconn***at***us.ibm.com)
Sébastien Le Digabel (sebastien.le.digabel***at***gerad.ca)
Mathilde Peyrega (mathilde.peyrega***at***polymtl.ca)

Abstract: We study derivative-free constrained optimization problems and propose a trust-region method that builds linear or quadratic models around the best feasible and and around the best infeasible solutions found so far. These models are optimized within a trust region, and the progressive barrier methodology handles the constraints by progressively pushing the infeasible solutions toward the feasible domain. Computational experiments on smooth problems indicate that the proposed method is competitive with COBYLA, and experiments on two nonsmooth multidisciplinary optimization problems from mechanical engineering show that it can be competitive with NOMAD.

Keywords: Derivative-free optimization, trust-region algorithms, progressive barrier

Category 1: Nonlinear Optimization (Constrained Nonlinear Optimization )

Category 2: Convex and Nonsmooth Optimization (Nonsmooth Optimization )

Citation: Cahier du Gerad, G-2016-49, juin 2016

Download: [PDF]

Entry Submitted: 06/28/2016
Entry Accepted: 06/28/2016
Entry Last Modified: 06/29/2016

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