Argonne National Laboratory

Benchmarking Derivative-Free Optimization Algorithms

TitleBenchmarking Derivative-Free Optimization Algorithms
Publication TypeJournal Article
Year of Publication2007
AuthorsMore', JJ, Wild, SM
JournalSIAM J. Optimization
Other NumbersANL/MCS-P1471-1207

We propose data profiles as a tool for analyzing the performance of derivative-free optimization solvers when there are constraints on the computational budget. We use performance and data profiles, together with a convergence test that measures the decrease in function value, to analyze the performance of three solvers on sets of smooth, noisy, and piecewise-smooth problems. Our results provide estimates for the performance difference between these solvers, and show that on these problems, the model-based solver tested performs better than the two direct search solvers tested.