Improving the Flexibility and Robustness of Derivative-Free Optimization Solvers

Abstract

Classical nonlinear optimization algorithms require the availability of gradient evaluations for constructing local approximations to the objective and testing for convergence. In settings where the objective is expensive to evaluate or noisy, evaluating the gradient may be too expensive or inaccurate, so cannot be used; we must turn to optimization methods which do not require gradient information, so-called derivative-free optimization (DFO). In this talk, I will introduce DFO and discuss two new software packages for DFO: DFO-LS for nonlinear least-squares problems, and Py-BOBYQA (a Python implementation of Powell’s BOBYQA) for general minimization problems. I will describe their novel features aimed at expensive and/or noisy problems, and show their state-of-the-art performance. Time permitting, I will also show a heuristic method which helps Py-BOBYQA to escape local minima, and show its favorable performance on global optimization problems.

Date
30 Aug 2018
Event
National Institute of Informatics Invited Seminar
Location
National Institute of Informatics, Tokyo
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Lindon Roberts
Lecturer

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