A Progressive Barrier for Derivative-Free Nonlinear Programming

The researchers propose a new constraint-handling approach for general constraints that is applicable to a widely used class of constrained derivative-free optimization methods. As in many methods that allow infeasible iterates, constraint violations are aggregated into a single constraint violation...

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Bibliographic Details
Published in:SIAM journal on optimization Vol. 20; no. 1; pp. 445 - 472
Main Authors: Audet, Charles, Dennis, J. E.
Format: Journal Article
Language:English
Published: Philadelphia Society for Industrial and Applied Mathematics 01.01.2009
Subjects:
Algorithms
Barriers
Calculus
Mathematical analysis
Nonlinear programming
Optimization
Pattern search
Strategy
Studies
Thresholds
ISSN:1052-6234, 1095-7189
Online Access:Get full text
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Summary:The researchers propose a new constraint-handling approach for general constraints that is applicable to a widely used class of constrained derivative-free optimization methods. As in many methods that allow infeasible iterates, constraint violations are aggregated into a single constraint violation function. As in filter methods, a threshold, or barrier, is imposed on the constraint violation function, and any trial point whose constraint violation function value exceeds this threshold is discarded from consideration. In the new algorithm, unlike the filter method, the amount of constraint violation subject to the barrier is progressively decreased adaptively as the iteration evolves. They test this progressive barrier (PB) approach versus the extreme barrier with the generalized pattern search (Gps) and the lower triangular mesh adaptive direct search (LTMads) methods for nonlinear derivative-free optimization. They know that Gps cannot be shown to yield kkt points with this strategy or the filter, but they use the Clarke nonsmooth calculus to prove Clarke stationarity of the sequences of feasible and infeasible trial points for LTMads- PB.
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ISSN:1052-6234
1095-7189
DOI:10.1137/070692662