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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]
    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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