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A model-based trust-region algorithm for DFO and its adaptation to handle noisy functions and gradients

Tröltzsch, Anke and Gratton, Serge and Toint, Philippe L. (2012) A model-based trust-region algorithm for DFO and its adaptation to handle noisy functions and gradients. 21st ISMP, 20.-24. Aug. 2012, Berlin, Deutschland.

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Abstract

The software BCDFO (Bound-Constrained Derivative-Free Optimization) was developed to improve the existing state-of-the-art software packages NEWUOA and BOBYQA which have been developed by M. Powell. But a known drawback of DFO methods is the difficulty to cope with higher dimensional problems. As many applications provide some sort of first order information, we propose here to add to our code BCDFO the possibility of handling (possibly noisy) gradient information. This information will be introduced in the local surrogate using weak constraints, where the weights will be proportional to the (known or estimated) error magnitude that corrupts the gradient.

Item URL in elib:https://elib.dlr.de/79248/
Document Type:Conference or Workshop Item (Speech)
Additional Information:Die Forschungsarbeiten für diesen Konferenzbeitrag wurden zum größten Teil am Europäischen Forschungszentrum CERFACS in Toulouse durchgeführt.
Title:A model-based trust-region algorithm for DFO and its adaptation to handle noisy functions and gradients
Authors:
AuthorsInstitution or Email of AuthorsAuthors ORCID iD
Tröltzsch, Ankeanke.troeltzsch (at) dlr.deUNSPECIFIED
Gratton, SergeIRIT ToulouseUNSPECIFIED
Toint, Philippe L.University of NamurUNSPECIFIED
Date:23 August 2012
Open Access:No
Gold Open Access:No
In SCOPUS:No
In ISI Web of Science:No
Status:Published
Keywords:nonlinear optimization, noisy problems, derivative-free optimization, gradient-based optimization
Event Title:21st ISMP
Event Location:Berlin, Deutschland
Event Type:international Conference
Event Dates:20.-24. Aug. 2012
Organizer:Mathematical Optimization Society
HGF - Research field:Aeronautics, Space and Transport
HGF - Program:Space
HGF - Program Themes:Space Technology
DLR - Research area:Raumfahrt
DLR - Program:R SY - Technik für Raumfahrtsysteme
DLR - Research theme (Project):R - Vorhaben SISTEC
Location: Köln-Porz
Institutes and Institutions:Institut of Simulation and Software Technology > Distributed Systems and Component Software
Deposited By: Tröltzsch, Anke
Deposited On:13 Dec 2012 16:09
Last Modified:12 Dec 2013 21:53

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