Seminar Details
2020-05-26 (14:00) : A 20-minute talk given by a student (2/2)
At MS Teams
Organized by Mathematical Engineering
Speaker :
S
Abstract :
Derivative free optimization (DFO) is the study of « zero order methods » that use no derivatives to find (or approach) the optimum of a problem. Nowadays there are many optimization problems for which the derivative computation is very expensive or noisy or even impossible. Without the use of the derivative we cannot expect the same performance as the classical first-order methods, but it is still possible to have methods that are guaranteed to converge to some stationary point. This is the case of the directional direct-search methods that poll multiples points in different well-chosen direction at each iteration and choose as next iterate the one that (best) decreases the objective. A basic example of this is the coordinate search method. The seminar will focus on this set of direct-search derivative free methods and their convergence results.