Experimental Comparisons of Derivative Free Optimization Algorithms

  • Authors:
  • A. Auger;N. Hansen;J. M. Perez Zerpa;R. Ros;M. Schoenauer

  • Affiliations:
  • TAO Projetct-Team, INRIA Saclay --- Île-de-France LRI, Bat 490 Univ. Paris-Sud, Orsay Cedex, France 91405 and Microsoft Research-INRIA Joint Centre, Orsay Cedex, France 91893;TAO Projetct-Team, INRIA Saclay --- Île-de-France LRI, Bat 490 Univ. Paris-Sud, Orsay Cedex, France 91405 and Microsoft Research-INRIA Joint Centre, Orsay Cedex, France 91893;TAO Projetct-Team, INRIA Saclay --- Île-de-France LRI, Bat 490 Univ. Paris-Sud, Orsay Cedex, France 91405;TAO Projetct-Team, INRIA Saclay --- Île-de-France LRI, Bat 490 Univ. Paris-Sud, Orsay Cedex, France 91405;TAO Projetct-Team, INRIA Saclay --- Île-de-France LRI, Bat 490 Univ. Paris-Sud, Orsay Cedex, France 91405 and Microsoft Research-INRIA Joint Centre, Orsay Cedex, France 91893

  • Venue:
  • SEA '09 Proceedings of the 8th International Symposium on Experimental Algorithms
  • Year:
  • 2009

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Abstract

In this paper, the performances of the quasi-Newton BFGS algorithm, the NEWUOA derivative free optimizer, the Covariance Matrix Adaptation Evolution Strategy (CMA-ES), the Differential Evolution (DE) algorithm and Particle Swarm Optimizers (PSO) are compared experimentally on benchmark functions reflecting important challenges encountered in real-world optimization problems. Dependence of the performances in the conditioning of the problem and rotational invariance of the algorithms are in particular investigated.