Improving the scalability of derivative-free optimization for nonlinear least-squares problems


In existing techniques for model-based derivative-free optimization, the computational cost of constructing local models and Lagrange polynomials can be high. As a result, these algorithms are not as suitable for large-scale problems as derivative-based methods. In this talk, I will introduce a derivative-free method based on exploration of random subspaces, suitable for nonlinear least-squares problems. This method has a substantially reduced computational cost (in terms of linear algebra), while still making progress using few objective evaluations.

28 Jun 2019
University of Strathclyde
Lindon Roberts

My research is in numerical analysis, particularly nonconvex and derivative-free optimization.