Repository logo
 

Optimization by moving ridge functions: derivative-free optimization for computationally intensive functions

Accepted version
Peer-reviewed

Type

Article

Change log

Authors

Gross, JC 
Parks, GT 

Abstract

A novel derivative-free algorithm, optimization by moving ridge functions (OMoRF), for unconstrained and bound-constrained optimization is presented. This algorithm couples trust region methodologies with output-based dimension reduction to accel- erate convergence of model-based optimization strategies. The dimension-reducing subspace is updated as the trust region moves through the function domain, al- lowing OMoRF to be applied to functions with no known global low-dimensional structure. Furthermore, its low computational requirement allows it to make rapid progress when optimizing high-dimensional functions. Its performance is examined on a set of test problems of moderate to high dimension and a high-dimensional design optimization problem. The results show that OMoRF compares favourably to other common derivative-free optimization methods, even for functions in which no underlying global low-dimensional structure is known.

Description

Keywords

Derivative-free optimization, nonlinear optimization, trust region methods, dimension reduction, ridge functions

Journal Title

Engineering Optimization

Conference Name

Journal ISSN

0305-215X
1029-0273

Volume Title

Publisher

Informa UK Limited

Rights

All rights reserved
Sponsorship
EPSRC (2091853)
Engineering and Physical Sciences Research Council (1946827)