| Title: |
Benchmarking Derivative-Free Optimization Algorithms |
| Authors: |
Jorge J. Moré,
Stefan M. Wild |
| Abstract: |
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, a
model-based solver performs better than geometry-based solvers, even for noisy and
piecewise-smooth problems. |
| Keywords: |
Derivative-Free Optimization, Benchmarking, Performance Evaluation, Deterministic Simulations, Computational Budget |
| Thanks: |
This work was supported by the Office of Advanced Scientific Computing Research, Office of
Science, U.S. Department of Energy, under Contract DE-AC02-06CH11357 and by a DOE
Computational Science Graduate Fellowship under grant number DE-FG02-97ER25308. |
| Status: |
Appears in SIAM J. Optimization, Vol. 20 (1), pp.172-191, 2009. |
| Link: |
[DOI: 10.1137/080724083] |
Additional information, including codes and data, can be found on our
Benchmarking Derivative-Free Optimization Algorithms page
| BibTeX: |
@article{JJMSMW09,
author = "Jorge J. Mor\'e and Stefan M. Wild",
title = "Benchmarking derivative-free optimization algorithms",
journal = "SIAM J.~Optimization",
volume = "20",
year = "2009",
number = "1",
pages = "172--191",
doi = "10.1137/080724083"
}
|
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