Pattern Search Algorithms for Bound Constrained Minimization

Authors:
Robert Michael Lewis;Virginia Torczon
Affiliations:
-;-
Venue:
SIAM Journal on Optimization
Year:
1999

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Abstract

We present a convergence theory for pattern search methods for solving bound constrained nonlinear programs. The analysis relies on the abstract structure of pattern search methods and an understanding of how the pattern interacts with the bound constraints. This analysis makes it possible to develop pattern search methods for bound constrained problems while only slightly restricting the flexibility present in pattern search methods for unconstrained problems. We prove global convergence despite the fact that pattern search methods do not have explicit information concerning the gradient and its projection onto the feasible region and consequently are unable to enforce explicitly a notion of sufficient feasible decrease.