DLR-Logo -> http://www.dlr.de
DLR Portal Home | Imprint | Privacy Policy | Contact | Deutsch
Fontsize: [-] Text [+]

A new algorithm for equality- and bound-constrained optimization without derivatives

Tröltzsch, Anke (2013) A new algorithm for equality- and bound-constrained optimization without derivatives. In: 4th International conference on continuous optimization. ICCOPT 2013, 27. Juli - 01. Aug., Lissabon, Portugal.

[img] PDF - Registered users only


We want to present a new interpolation-based trust-region algorithm which can handle nonlinear and nonconvex optimization problems involving equality constraints and simple bounds on the variables. The equality constraints are handled by a trust-region SQP approach, where each SQP step is decomposed into a normal and a tangential step to account for feasibility as well as for optimality. Special care must be taken in case an iterate is infeasible with respect to the models of the derivative-free constraints. Globalization is handled by using an Augmented Lagrangian penalty function as the merit function. Furthermore, our new algorithm uses features of the algorithm BCDFO, proposed by Gratton et. al. (2011), which handles bound constraints by an active-set method and has shown to be very competitive for bound-constrained problems. It relies also on the technique of self-correcting geometry, proposed by Scheinberg and Toint (2010), to maintain poisedness of the interpolation set. The objective and constraint functions are approximated by polynomials of varying degree (linear or quadratic). We present numerical results on a test set of equality-constrained problems from the CUTEr problem collection.

Item URL in elib:https://elib.dlr.de/88405/
Document Type:Conference or Workshop Item (Speech)
Title:A new algorithm for equality- and bound-constrained optimization without derivatives
AuthorsInstitution or Email of AuthorsAuthors ORCID iD
Tröltzsch, Ankeanke.troeltzsch (at) dlr.deUNSPECIFIED
Journal or Publication Title:4th International conference on continuous optimization
Refereed publication:Yes
Open Access:No
Gold Open Access:No
In ISI Web of Science:No
Keywords:derivative-free optimization, nonlinear optimization, DFO, SQP
Event Title:ICCOPT 2013
Event Location:Lissabon, Portugal
Event Type:international Conference
Event Dates:27. Juli - 01. Aug.
HGF - Research field:Aeronautics, Space and Transport
HGF - Program:Space
HGF - Program Themes:Space Transport
DLR - Research area:Raumfahrt
DLR - Program:R RP - Raumtransport
DLR - Research theme (Project):R - Proj. Thermas (old)
Location: Köln-Porz
Institutes and Institutions:Institut of Simulation and Software Technology
Institut of Simulation and Software Technology > Distributed Systems and Component Software
Deposited By: Tröltzsch, Anke
Deposited On:28 Feb 2014 09:44
Last Modified:08 May 2014 23:17

Repository Staff Only: item control page

Help & Contact
electronic library is running on EPrints 3.3.12
Copyright © 2008-2017 German Aerospace Center (DLR). All rights reserved.