Benchmarking Derivative-Free Optimization Algorithms

Authors:
Jorge J. Moré;Stefan M. Wild
Affiliations:
more@mcs.anl.gov;wild@mcs.anl.gov
Venue:
SIAM Journal on Optimization
Year:
2009

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Abstract

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.