Argonne National Laboratory

A Trust-Region Algorithm for Global Optimization

TitleA Trust-Region Algorithm for Global Optimization
Publication TypeReport
Year of Publication2004
AuthorsAddis, B, Leyffer, S
Date Published08/2004
Other NumbersANL/MCS-P1190-0804

<p>We consider the global minimization of a bound-constrained function with a so-called funnel structure. We develop a two-phase procedure that uses sampling, local optimization, and Gaussian smoothing to construct a smooth model of the underlying funnel. The procedure is embedded in a trust-region framework that avoids the pitfalls of a fixed sampling radius. We present a numerical comparison to three popular methods and show that the new algorithm is robust and uses up to 20 times fewer local minimizations steps.</p>