BENCHMARKING DERIVATIVE-FREE OPTIMIZATION ALGORITHMS

被引：407

作者：

More, Jorge J. ^{[1
]}

Wild, Stefan M. ^{[1
]}

机构：

[1] Argonne Natl Lab, Div Math & Comp Sci, Argonne, IL 60439 USA

来源：

SIAM JOURNAL ON OPTIMIZATION | 2009年 / 20卷 / 01期

关键词：

derivative-free optimization; benchmarking; performance evaluation; deterministic simulations; computational budget; PARALLEL PATTERN SEARCH;

D O I：

10.1137/080724083

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We propose data profiles as a tool for analyzing the performance of derivative-free optimization solvers when there are constraints on the computational budget. We use performance and data profiles, together with a convergence test that measures the decrease in function value, to analyze the performance of three solvers on sets of smooth, noisy, and piecewise-smooth problems. Our results provide estimates for the performance difference between these solvers, and show that on these problems, the model-based solver tested performs better than the two direct search solvers tested.

引用

页码：172 / 191

页数：20

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