G-2009-23
The Mesh Adaptive Direct Search Algorithm for Periodic Variables
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This work analyzes constrained black box optimization in which the functions defining the problem are periodic with respect to some or all the variables. We show that the natural strategy of mapping trial points into the interval defined by the period in the Mesh Adaptive Direct Search (MADS) framework can be easily done in practice, and the convergence analysis does not suffer any loss if some minor algorithmic conditions are met. The proposed strategy is tested on a nonsmooth classification problem and on a bi-objective portfolio selection problem for which MADS is repeatedly used on mono-objective problems.
Paru en mai 2009 , 20 pages
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Publication
jan. 2012
The mesh adaptive direct search algorithm for periodic variables
et
Pacific Journal of Optimization, 8(1), 103–119, 2012
référence BibTeX