CONDOR, a new parallel, constrained extension of Powell's UOBYQA algorithm: experimental results and comparison with the DFO algorithm

  • Authors:

  • Frank Vanden Berghen;Hugues Bersini

  • Affiliations:

  • IRIDIA, Uiversité Libre de Bruxelles, Avenue Franklin Roosevelt, 50 CP194/6, 1050 Brussels, Belgium;IRIDIA, Uiversité Libre de Bruxelles, Avenue Franklin Roosevelt, 50 CP194/6, 1050 Brussels, Belgium

  • Venue:
  • Journal of Computational and Applied Mathematics
  • Year:
  • 2005

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Abstract

This paper presents an algorithmic extension of Powell's UOBYQA algorithm (Unconstrained Optimization BY Quadratical Approximation). We start by summarizing the original algorithm of Powell and by presenting it in a more comprehensible form. Thereafter, we report comparative numerical results between UOBYQA, DFO and a parallel, constrained extension of UOBYQA that will be called in the paper CONDOR (Constrained, Non-linear, Direct, parallel Optimization using trust Region method for high-computing load function). The experimental results are very encouraging and validate the approach. They open wide possibilities in the field of noisy and high-computing-load objective functions optimization (from 2 min to several days) like, for instance, industrial shape optimization based on computation fluid dynamic codes or partial differential equations solvers. Finally, we present a new, easily comprehensible and fully stand-alone implementation in C++ of the parallel algorithm.