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Title: Incorporating minimum Frobenius norm models in direct search
Authors: Custódio, Ana Luísa 
Rocha, Humberto 
Vicente, Luís Nunes 
Keywords: Derivative-free optimization; Minimum Frobenius norm models; Direct search; Generalized pattern search; Search step; Data profiles
Issue Date: 2008
Publisher: Centro de Matemática da Universidade de Coimbra
Citation: Pré-Publicações DMUC. 08-51 (2008)
Abstract: The goal of this paper is to show that the use of minimum Frobenius norm quadratic models can improve the performance of direct-search methods. The approach taken here is to maintain the structure of directional direct-search methods, organized around a search and a poll step, and to use the set of previously evaluated points generated during a direct-search run to build the models. The minimization of the models within a trust region provides an enhanced search step. Our numerical results show that such a procedure can lead to a significant improvement of direct search for smooth, piecewise smooth, and stochastic and nonstochastic noisy problems.
Rights: openAccess
Appears in Collections:FCTUC Matemática - Vários

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