A Derivative Free Optimization Algorithm based on Conditional Moments

dc.contributor.authorWang, Xiaogang
dc.contributor.authorLiang, Dong
dc.contributor.authorFeng, Xingdong
dc.contributor.authorYe, Lu
dc.date.accessioned2007-03-27T18:55:33Z
dc.date.available2007-03-27T18:55:33Z
dc.date.issued2006
dc.description.abstractIn this paper we propose a derivative-free optimization algorithm based on conditional moments for finding the maximizer of an objective function. The proposed algorithm does not require calculation or approximation of any order derivative of the objective function. The step size in iteration is determined adaptively according to the local geometrical feature of the objective function and a pre-specified quantity representing the desired precision. The theoretical properties including convergence of the method are presented. Numerical experiments comparing with the Newton, Quasi-Newton and trust region methods are given to illustrate the effectiveness of the algorithm.
dc.identifier.citationX. Wang et al., A derivative-free optimization algorithm based on conditional moments, J. Math. Anal. Appl. (2006), doi:10.1016/j.jmaa.2006.08.091
dc.identifier.issn0022-247X
dc.identifier.urihttp://hdl.handle.net/10315/926
dc.identifier.urihttps://doi.org/10.1016/j.jmaa.2006.08.091
dc.language.isoen
dc.publisherJournal of Mathematical Analysis and Applications
dc.subjectOptimization
dc.subjectDerivative-free
dc.subjectConditional moment
dc.subjectTrust region
dc.titleA Derivative Free Optimization Algorithm based on Conditional Moments
dc.typeArticle

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