`` Direct Search'' Solution of Numerical and Statistical Problems
Journal of the ACM (JACM)
Parameter optimization by random search using hybrid computer techniques
AFIPS '66 (Fall) Proceedings of the November 7-10, 1966, fall joint computer conference
IEEE Transactions on Computers
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The well-known pattern search method has been randomized by Lawrence and Steiglitz [4] in order to augment its ability to adapt to direction. In this note we introduce other refinements in order to make it more adaptive in step size, and the use of penalty terms is incorporated as so to accommodate constraints. This yields an algorithm that appears to be robust and reliable, as verified by numerical experimentation. Moreover, the method has low storage requirements and is insensitive to the initial choice of a search radius.