A Derivative Free Optimization Algorithm in Practice
A. R. Conn K. Scheinberg Ph. L. Toint
Report 98-11
We consider an algorithm for optimizing a nonlinear function, without
constraints, whose first order derivatives exist but are unavailable. The
algorithm is based on approximating the objective function by a quadratic
polynomial interpolation model and using this model within a trust-region
framework. We study some practical properties of the algorithm and show how
this algorithm can be extended to solve certain constrained optimization
problems. Computational results for analytical problems and for applied
problems from the aeronautic industry are presented.