Introduction to derivative-free optimization
Introduction to derivative-free optimization By A R Conn; Katya Scheinberg; Luis N Vicente
2009 | 290 Pages | ISBN: 0898716683 | PDF | 2 MB
2009 | 290 Pages | ISBN: 0898716683 | PDF | 2 MB
The absence of derivatives, often combined with the presence of noise or lack of smoothness, is a major challenge for optimisation. This book explains how sampling and model techniques are used in derivative-free methods and how these methods are designed to efficiently and rigorously solve optimisation problems. Introduction -- Sampling and linear models -- Interpolating nonlinear models -- Regression nonlinear models -- Underdetermined interpolating models -- Ensuring well poisedness and suitable derivative-free models -- Directional direct-search methods -- Simplicial direct-search methods -- Line-search methods based on simplex derivatives -- Trust-region methods based on derivative-free models -- Trust-region interpolation-based methods -- Review of surrogate model management -- Review of constrained and other extensions to derivative-free optimization