2011, 1(1): 117-145. doi: 10.3934/naco.2011.1.117

A derivative-free trust-region algorithm for unconstrained optimization with controlled error

1. 

Graduate School of Informatics, Kyoto University, Yoshida-honmachi, Sakyo-ku, Kyoto, 606-8501,, Japan

2. 

Graduate School of Informatics, Kyoto University, Yoshida-honmachi, Sakyo-ku, Kyoto, 606-8501

Received  September 2010 Revised  December 2010 Published  February 2011

In this paper, we consider the unconstrained optimization problem under the following conditions: (S1) The objective function is evaluated with a certain bounded error, (S2) the error is controllable, that is, the objective function can be evaluated to any desired accuracy, and (S3) more accurate evaluation requires a greater computation time. This situation arises in many fields such as engineering and financial problems, where objective function values are obtained from considerable numerical calculation or a simulation. Under (S2) and (S3), it seems reasonable to set the accuracy of the evaluation to be low at points far from a solution, and high at points in the neighborhood of a solution. In this paper, we propose a derivative-free trust-region algorithm based on this idea. For this purpose, we consider (i) how to construct a quadratic model function by exploiting pointwise errors and (ii) how to control the accuracy of function evaluations to reduce the total computation time of the algorithm. For (i), we propose a method based on support vector regression. For (ii), we present an updating formula of the accuracy of which is related to the trust-region radius. We present numerical results for several test problems taken from CUTEr and a financial problem of estimating implied volatilities from option prices.
Citation: Jun Takaki, Nobuo Yamashita. A derivative-free trust-region algorithm for unconstrained optimization with controlled error. Numerical Algebra, Control & Optimization, 2011, 1 (1) : 117-145. doi: 10.3934/naco.2011.1.117
References:
[1]

I. Bongartz, A. R. Conn, N. I. M. Gould and Ph. L. Toint, CUTE: Constrained and unconstrained testing environment,, ACM Transactions on Mathematical Software, 21 (1995), 123. doi: 10.1145/200979.201043.

[2]

A. J. Booker, J. E. Dennis, P. D. Frank, D. B. Serafini, V. Torczon and M. W. Trosset, A rigorous framework for optimization of expensive functions by surrogates,, Structural and Multidisciplinary Optimization, 17 (1999), 1.

[3]

T. D. Choi and C. T. Kelley, Superlinear Convergence and Implicit Filtering,, SIAM Journal on Optimization, 10 (2000), 1149. doi: 10.1137/S1052623499354096.

[4]

B. Colson, P. Marcotte and G. Savard, Bilevel programming: A survey,, 4OR: A Quarterly Journal of Operations Research, 3 (2005), 87.

[5]

A. R. Conn, N. I. M. Gould and Ph. L. Toint, "Trust-Region Methods,'', SIAM, (2000). doi: 10.1137/1.9780898719857.

[6]

A. R. Conn and Ph. L. Toint, An algorithm using quadratic interpolation for unconstrained derivative free optimization,, in, (1996), 27.

[7]

A. R. Conn, K. Scheinberg and Ph. L. Toint, A derivative free optimization algorithm in practice,, the American Institute of Aeronautics and Astronautics Conference, (1998).

[8]

A. R. Conn, K. Scheinberg and Ph. L. Toint, A derivative free optimization method via support vector machines,, 1999. Available from: , ().

[9]

A. R. Conn, K. Scheinberg and Ph. L. Toint, On the convergence of derivative-free methods for unconstrained optimization,, in, (1997), 83.

[10]

A. R. Conn, K. Scheinberg and L. N. Vicente, Geometry of interpolation sets in derivative free optimization,, Mathematical Programming, 111 (2008), 141. doi: 10.1007/s10107-006-0073-5.

[11]

A. R. Conn, K. Scheinberg and L. N. Vicente, Geometry of sample sets in derivative free optimization: Polynomial regression and underdetermined interpolation,, IMA Journal of Numerical Analysis, 28 (2008), 721. doi: 10.1093/imanum/drn046.

[12]

C. Cox and M. Rubinstein, "Option Markets,'', Prentice-Hall, (1985).

[13]

N. Cristianini and J. Shawe-Taylor, "An Introduction to Support Vector Machines and Other Kernel-based Methods,'', Cambridge University Press, (2000).

[14]

J. E. Dennis and V. Torczon, Direct search methods on parallel machines,, SIAM Journal on Optimization, 1 (1991), 448. doi: 10.1137/0801027.

[15]

R. A. Fisher, "The Design of Experiments,'', Oliver and Boyd Ltd., (1951).

[16]

P. Gilmore and C. T. Kelley, An implicit filtering algorithm for optimization of functions with many local minima,, SIAM Journal on Optimization, 5 (1995), 269. doi: 10.1137/0805015.

[17]

B. Karasözen, Survey of trust-region derivative free optimization methods,, Journal of Industrial and Management Optimization, 3 (2007), 321.

[18]

T. G. Kolda, R. M. Lewis and V. Torzcon, Optimization by direct search: new perspectives of some classical and modern methods,, SIAM Review, 45 (2003), 385. doi: 10.1137/S003614450242889.

[19]

J. A. Nelder and R. Mead, A simplex method for function minimization,, Computer Journal, 7 (1965), 308.

[20]

J. Nocedal and S. J. Wright, "Numerical Optimization,'', Springer-Verlag, (1999). doi: 10.1007/b98874.

[21]

M. J. D. Powell, Trust region methods that employ quadratic interpolation to the objective function,, Presentation at the 5th SIAM Conference on Optimization, (1996).

[22]

M. J. D. Powell, UOBYQA: unconstrained optimization by quadratic approximation,, Mathematical Programming, 92 (2002), 555. doi: 10.1007/s101070100290.

[23]

J. A. Tilley, Valuing American options in a path simulation model,, Transactions of the Society of Actuaries, 45 (1993), 83.

[24]

V. Torczon, On the convergence of the multidirectional search algorithm,, SIAM Journal on Optimization, 1 (1991), 123. doi: 10.1137/0801010.

[25]

D. Winfield, "Function and Functional Optimization by Interpolation in Data Tables,'', PhD thesis, (1969).

[26]

D. Winfield, Functional minimization by interpolation in a data table,, Journal of the Institute of Mathematics and its Applications, 12 (1973), 339. doi: 10.1093/imamat/12.3.339.

show all references

References:
[1]

I. Bongartz, A. R. Conn, N. I. M. Gould and Ph. L. Toint, CUTE: Constrained and unconstrained testing environment,, ACM Transactions on Mathematical Software, 21 (1995), 123. doi: 10.1145/200979.201043.

[2]

A. J. Booker, J. E. Dennis, P. D. Frank, D. B. Serafini, V. Torczon and M. W. Trosset, A rigorous framework for optimization of expensive functions by surrogates,, Structural and Multidisciplinary Optimization, 17 (1999), 1.

[3]

T. D. Choi and C. T. Kelley, Superlinear Convergence and Implicit Filtering,, SIAM Journal on Optimization, 10 (2000), 1149. doi: 10.1137/S1052623499354096.

[4]

B. Colson, P. Marcotte and G. Savard, Bilevel programming: A survey,, 4OR: A Quarterly Journal of Operations Research, 3 (2005), 87.

[5]

A. R. Conn, N. I. M. Gould and Ph. L. Toint, "Trust-Region Methods,'', SIAM, (2000). doi: 10.1137/1.9780898719857.

[6]

A. R. Conn and Ph. L. Toint, An algorithm using quadratic interpolation for unconstrained derivative free optimization,, in, (1996), 27.

[7]

A. R. Conn, K. Scheinberg and Ph. L. Toint, A derivative free optimization algorithm in practice,, the American Institute of Aeronautics and Astronautics Conference, (1998).

[8]

A. R. Conn, K. Scheinberg and Ph. L. Toint, A derivative free optimization method via support vector machines,, 1999. Available from: , ().

[9]

A. R. Conn, K. Scheinberg and Ph. L. Toint, On the convergence of derivative-free methods for unconstrained optimization,, in, (1997), 83.

[10]

A. R. Conn, K. Scheinberg and L. N. Vicente, Geometry of interpolation sets in derivative free optimization,, Mathematical Programming, 111 (2008), 141. doi: 10.1007/s10107-006-0073-5.

[11]

A. R. Conn, K. Scheinberg and L. N. Vicente, Geometry of sample sets in derivative free optimization: Polynomial regression and underdetermined interpolation,, IMA Journal of Numerical Analysis, 28 (2008), 721. doi: 10.1093/imanum/drn046.

[12]

C. Cox and M. Rubinstein, "Option Markets,'', Prentice-Hall, (1985).

[13]

N. Cristianini and J. Shawe-Taylor, "An Introduction to Support Vector Machines and Other Kernel-based Methods,'', Cambridge University Press, (2000).

[14]

J. E. Dennis and V. Torczon, Direct search methods on parallel machines,, SIAM Journal on Optimization, 1 (1991), 448. doi: 10.1137/0801027.

[15]

R. A. Fisher, "The Design of Experiments,'', Oliver and Boyd Ltd., (1951).

[16]

P. Gilmore and C. T. Kelley, An implicit filtering algorithm for optimization of functions with many local minima,, SIAM Journal on Optimization, 5 (1995), 269. doi: 10.1137/0805015.

[17]

B. Karasözen, Survey of trust-region derivative free optimization methods,, Journal of Industrial and Management Optimization, 3 (2007), 321.

[18]

T. G. Kolda, R. M. Lewis and V. Torzcon, Optimization by direct search: new perspectives of some classical and modern methods,, SIAM Review, 45 (2003), 385. doi: 10.1137/S003614450242889.

[19]

J. A. Nelder and R. Mead, A simplex method for function minimization,, Computer Journal, 7 (1965), 308.

[20]

J. Nocedal and S. J. Wright, "Numerical Optimization,'', Springer-Verlag, (1999). doi: 10.1007/b98874.

[21]

M. J. D. Powell, Trust region methods that employ quadratic interpolation to the objective function,, Presentation at the 5th SIAM Conference on Optimization, (1996).

[22]

M. J. D. Powell, UOBYQA: unconstrained optimization by quadratic approximation,, Mathematical Programming, 92 (2002), 555. doi: 10.1007/s101070100290.

[23]

J. A. Tilley, Valuing American options in a path simulation model,, Transactions of the Society of Actuaries, 45 (1993), 83.

[24]

V. Torczon, On the convergence of the multidirectional search algorithm,, SIAM Journal on Optimization, 1 (1991), 123. doi: 10.1137/0801010.

[25]

D. Winfield, "Function and Functional Optimization by Interpolation in Data Tables,'', PhD thesis, (1969).

[26]

D. Winfield, Functional minimization by interpolation in a data table,, Journal of the Institute of Mathematics and its Applications, 12 (1973), 339. doi: 10.1093/imamat/12.3.339.

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