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An indicator for the switch from derivative-free to derivative-based optimization
- Source :
- Repositório Científico de Acesso Aberto de Portugal, Repositório Científico de Acesso Aberto de Portugal (RCAAP), instacron:RCAAP
- Publication Year :
- 2017
- Publisher :
- Elsevier BV, 2017.
-
Abstract
- In some optimization problems found in applications, the derivatives of the objective function can be computed or approximated but at an expensive cost, and it is desirable to know when to use derivative-free methods (such as direct search, for instance) or derivative-based methods (such as gradient or quasi-Newton methods). Derivative-free methods may achieve a steady initial progress for some problems, but after some advance they may also become slower or even stagnate due to the lack of derivatives. It is thus of interest to provide a way to appropriately switch from a derivative-free method to a derivative-based one. In this paper, we develop a family of indicators for such a switch based on the decrease properties of both classes of methods (typically used when deriving worst case complexity bounds).
- Subjects :
- Mathematical optimization
Optimization problem
0211 other engineering and technologies
010103 numerical & computational mathematics
02 engineering and technology
Management Science and Operations Research
01 natural sciences
Industrial and Manufacturing Engineering
Gradient methods
Random search
Complexity and global rates
Derivative (finance)
Derivative-free optimization
Worst-case complexity
Indicators
Random optimization
Direct search
0101 mathematics
Mathematics
Derivative-based optimization
021103 operations research
Applied Mathematics
Intelligence artificielle
Direct-search methods
Software
Subjects
Details
- ISSN :
- 01676377
- Volume :
- 45
- Database :
- OpenAIRE
- Journal :
- Operations Research Letters
- Accession number :
- edsair.doi.dedup.....a7a8597b58b4bf30b1f48e9b346f65c6