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Direct search based on probabilistic feasible descent for bound and linearly constrained problems

Author

Listed:
  • S. Gratton

    (IRIT, University of Toulouse)

  • C. W. Royer

    (University of Wisconsin-Madison)

  • L. N. Vicente

    (University of Coimbra)

  • Z. Zhang

    (The Hong Kong Polytechnic University)

Abstract

Direct search is a methodology for derivative-free optimization whose iterations are characterized by evaluating the objective function using a set of polling directions. In deterministic direct search applied to smooth objectives, these directions must somehow conform to the geometry of the feasible region, and typically consist of positive generators of approximate tangent cones (which then renders the corresponding methods globally convergent in the linearly constrained case). One knows however from the unconstrained case that randomly generating the polling directions leads to better complexity bounds as well as to gains in numerical efficiency, and it becomes then natural to consider random generation also in the presence of constraints. In this paper, we study a class of direct-search methods based on sufficient decrease for solving smooth linearly constrained problems where the polling directions are randomly generated (in approximate tangent cones). The random polling directions must satisfy probabilistic feasible descent, a concept which reduces to probabilistic descent in the absence of constraints. Such a property is instrumental in establishing almost-sure global convergence and worst-case complexity bounds with overwhelming probability. Numerical results show that the randomization of the polling directions can be beneficial over standard approaches with deterministic guarantees, as it is suggested by the respective worst-case complexity bounds.

Suggested Citation

  • S. Gratton & C. W. Royer & L. N. Vicente & Z. Zhang, 2019. "Direct search based on probabilistic feasible descent for bound and linearly constrained problems," Computational Optimization and Applications, Springer, vol. 72(3), pages 525-559, April.
    • Handle: RePEc:spr:coopap:v:72:y:2019:i:3:d:10.1007_s10589-019-00062-4
    DOI: 10.1007/s10589-019-00062-4
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    References listed on IDEAS

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    1. Nicholas Gould & Dominique Orban & Philippe Toint, 2015. "CUTEst: a Constrained and Unconstrained Testing Environment with safe threads for mathematical optimization," Computational Optimization and Applications, Springer, vol. 60(3), pages 545-557, April.
    2. Y. Diouane & S. Gratton & L. Vicente, 2015. "Globally convergent evolution strategies for constrained optimization," Computational Optimization and Applications, Springer, vol. 62(2), pages 323-346, November.
    3. Charles Audet & Sébastien Le Digabel & Mathilde Peyrega, 2015. "Linear equalities in blackbox optimization," Computational Optimization and Applications, Springer, vol. 61(1), pages 1-23, May.
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    Cited by:

    1. Ubaldo M. García Palomares, 2023. "Convergence of derivative-free nonmonotone Direct Search Methods for unconstrained and box-constrained mixed-integer optimization," Computational Optimization and Applications, Springer, vol. 85(3), pages 821-856, July.

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