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Zbl 1073.90066
Audet, Charles; Dennis, J.E.jun.
A pattern search filter method for nonlinear programming without derivatives. (English)
[J] SIAM J. Optim. 14, No. 4, 980-1010 (2004). ISSN 1052-6234; ISSN 1095-7189/e

Summary: This paper formulates and analyzes a pattern search method for general constrained optimization based on filter methods for step acceptance. Roughly, a filter method accepts a step that improves either the objective function value or the value of some function that measures the constraint violation. The new algorithm does not compute or approximate any derivatives, penalty constants, or Lagrange multipliers. A key feature of the new algorithm is that it preserves the division into SEARCH and local POLL steps, which allows the explicit use of inexpensive surrogates or random search heuristics in the SEARCH step. It is shown here that the algorithm identifies limit points at which optimality conditions depend on local smoothness of the functions and, to a greater extent, on the choice of a certain set of directions. Stronger optimality conditions are guaranteed for smoother functions and, in the constrained case, for a fortunate choice of the directions on which the algorithm depends. These directional conditions generalize those given previously for linear constraints, but they do not require a feasible starting point. In the absence of general constraints, the proposed algorithm and its convergence analysis generalize previous work on unconstrained, bound constrained, and linearly constrained generalized pattern search. The algorithm is illustrated on some test examples and on an industrial wing planform engineering design application.

MSC 2000:: *90C56 Derivative-free methods
65K05 Mathematical programming (numerical methods)
90C30 Nonlinear programming

Keywords: pattern search algorithm; filter algorithm; surrogate-based optimization; derivative-free convergence analysis; constrained optimization; nonlinear programming

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