Argonne National Laboratory

A Batch, Derivative-Free Algorithm for Finding Multiple Local Minima

TitleA Batch, Derivative-Free Algorithm for Finding Multiple Local Minima
Publication TypeJournal Article
Year of Publication2014
AuthorsLarson, J, Wild, SM
JournalOptimization and Engineering
Volume17
Issue1
Pagination205-228
Other NumbersANL/MCS-P5228-1114
AbstractWe propose a derivative-free algorithm for finding high-quality local minima for functions that require significant computational resources to evaluate. Our algorithm efficiently utilizes the computational resources allocated to it and also has strong theoretical results, almost surely starting a finite number of local optimization runs and identifying all local minima. We propose metrics for measuring how efficiently an algorithm finds local minima, and benchmark our algorithm on synthetic problems (with known local minima) and two real-world applications.  
DOI10.1007/s11081-015-9289-7
PDFhttp://www.mcs.anl.gov/papers/P5228-1114.pdf