New Sequential and Parallel Derivative-Free Algorithms for Unconstrained Minimization

  • Authors:
  • U. M. García-Palomares;J. F. Rodríguez

  • Affiliations:
  • -;-

  • Venue:
  • SIAM Journal on Optimization
  • Year:
  • 2002

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Abstract

This paper presents sequential and parallel derivative-free algorithms for finding a local minimum of smooth and nonsmooth functions of practical interest. It is proved that, under mild assumptions, a sufficient decrease condition holds for a nonsmooth function. Based on this property, the algorithms explore a set of search directions and move to a point with a sufficiently lower functional value. If the function is strictly differentiable at its limit points, a (sub)sequence of points generated by the algorithm converges to a first-order stationary point ($\nabla\!f(x) = 0$). If the function is convex around its limit points, convergence (of a subsequence) to a point with nonnegative directional derivatives on a set of search directions is ensured. Preliminary numerical results on sequential algorithms show that they compare favorably with the recently introduced pattern search methods.