A Derivative Free Optimization Algorithm based on Conditional Moments

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Date

2006

Authors

Wang, Xiaogang
Liang, Dong
Feng, Xingdong
Ye, Lu

Journal Title

Journal ISSN

Volume Title

Publisher

Journal of Mathematical Analysis and Applications

Abstract

In this paper we propose a derivative-free optimization algorithm based on conditional moments for finding the maximizer of an objective function. The proposed algorithm does not require calculation or approximation of any order derivative of the objective function. The step size in iteration is determined adaptively according to the local geometrical feature of the objective function and a pre-specified quantity representing the desired precision. The theoretical properties including convergence of the method are presented. Numerical experiments comparing with the Newton, Quasi-Newton and trust region methods are given to illustrate the effectiveness of the algorithm.

Description

Keywords

Optimization, Derivative-free, Conditional moment, Trust region

Citation

X. Wang et al., A derivative-free optimization algorithm based on conditional moments, J. Math. Anal. Appl. (2006), doi:10.1016/j.jmaa.2006.08.091