GLODS: Global and Local Optimization using Direct Search

A. L. Custódio, J. F. A. Madeira

Research output: Contribution to journalArticle

17 Citations (Scopus)

Abstract

Locating and identifying points as global minimizers is, in general, a hard and time-consuming task. Difficulties increase in the impossibility of using the derivatives of the functions defining the problem. In this work, we propose a new class of methods suited for global derivative-free constrained optimization. Using direct search of directional type, the algorithm alternates between a search step, where potentially good regions are located, and a poll step where the previously located promising regions are explored. This exploitation is made through the launching of several instances of directional direct searches, one in each of the regions of interest. Differently from a simple multistart strategy, direct searches will merge when sufficiently close. The goal is to end with as many direct searches as the number of local minimizers, which would easily allow locating the global extreme value. We describe the algorithmic structure considered, present the corresponding convergence analysis and report numerical results, showing that the proposed method is competitive with currently commonly used global derivative-free optimization solvers.

Original languageEnglish
Pages (from-to)1-28
Number of pages28
JournalJournal of Global Optimization
Volume62
Issue number1
DOIs
Publication statusPublished - 2015

Keywords

  • Direct-search methods
  • Global optimization
  • Multistart strategies
  • Nonsmooth calculus
  • Pattern-search methods

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