On the local convergence of pattern search

  • Authors:
  • Elizabeth D. Dolan;Robert M Lewis;and V Torczon

  • Affiliations:
  • -;-;-

  • Venue:
  • On the local convergence of pattern search
  • Year:
  • 2000

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Abstract

We examine the local convergence properties of pattern search methods, complementing the previously established global convergence properties for this class of algorithms. We show that the step-length control parameter which appears in the definition of pattern search algorithms provides a reliable asymptotic measure of first-order stationarity. This gives an analytical justification for a traditional stopping criterion for pattern search methods. Using this measure of first-order stationarity, we analyze the behavior of pattern search in the neighborhood of an isolated local minimizer. We show that a recognizable subsequence converges r-linearly to the minimizer.