Generalized Pattern Searches With Derivative Information
AIR FORCE INST OF TECH WRIGHT-PATTERSON AFB OH DEPT OF MATHEMATICS AND STATISTICS
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A common question asked by users of direct search algorithms is how to use derivative information at iterates where it is available. This paper addresses that question with respect to Generalized Pattern Search GPS methods for unconstrained and linearly constrained optimization. Specifically this paper concentrates on the GPS poll step. Polling is done to certify the need to refine the current mesh, and it requires On function evaluations in the worst case. We show that the use of derivative information significantly reduces the maximum number of function evaluations necessary for poll steps, even to a worst case of a single function evaluation with certain algorithmic choices given here. Furthermore, we show that rather rough approximations to the gradient are sufficient to reduce the poll step to a single function evaluation. We prove that using these less expensive poll steps does not weaken the known convergence properties of the method, all of which depend only on the poll step.
- Operations Research