Numerical experience with a derivative-free trust-funnel method for nonlinear optimization problems with general nonlinear constraints

Phillipe Rodrigues Sampaio, Philippe Toint

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Résumé

A trust-funnel method is proposed for solving nonlinear optimization problems with general nonlinear constraints. It extends the one presented by Gould and Toint (Math. Prog., 122(1):155- 196, 2010), originally proposed for equality-constrained optimization problems only, to problems with both equality and inequality constraints and where simple bounds are also considered. As the original one, our method makes use of neither filter nor penalty functions and considers the objective function and the constraints as independently as possible. To handle the bounds, an active set approach is employed. We then exploit techniques developed for derivative-free optimization to obtain a method that can also be used to solve problems where the derivatives are unavailable or are available at a prohibitive cost. The resulting approach extends the DEFT-FUNNEL algorithm presented by Sampaio and Toint (Comput. Optim. Appl., 61(1):25-49, 2015), which implements a derivative-free trust-funnel method for equality-constrained problems. Numerical experiments with
the extended algorithm show that our approach compares favorably to other well-known mode-lbased algorithms for derivative-free optimization.
langue originaleAnglais
Pages (de - à)511-534
journalOptimization Methods and Software
Volume31
Numéro de publication1
Etat de la publicationPublié - mai 2016

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  • Projets

    DFO: Algorithmes d'optimisation numérique sans dérivées

    TOINT, P., COLSON, B., Gratton, S., Tröltzsch, A. & RODRIGUES SAMPAIO, P.

    1/03/94 → …

    Projet: Recherche

    Derivative-Free Optimization and Constraints

    RODRIGUES SAMPAIO, P. & TOINT, P.

    1/09/111/10/15

    Projet: Projet de thèse

    Thèses de l'étudiant

    A trust-region method for constrained derivative-free optimization and worst-case evaluation complexity of non-monotone gradient-related algorithms for unconstrained optimization.

    Author: Rodrigues Sampaio, P., 25 août 2015

    Superviseur: Toint, P. (Promoteur), Lemaitre, A. (Président), Sartenaer, A. (Jury), Conn, A. (Personne externe) (Jury) & Gratton, S. (Personne externe) (Jury)

    Thèse de l'étudiant: Doc typesDocteur en Sciences

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