Talk by Lindon Roberts: "Improving the Flexibility and Robustness of Derivative-Free Optimization Solvers"
Aug. 30 (Thu.)
National Institute of Informatics
Room 2208 (22th floor), NII
Lindon Roberts (Oxford University)
Improving the Flexibility and Robustness of Derivative-Free Optimization Solvers
Classical nonlinear optimization algorithms require the availability of gradient evaluations for constructing local approximations to the objective and testing for convergence. In settings where the objective is expensive to evaluate or noisy, evaluating the gradient may be too expensive or inaccurate, so cannot be used; we must turn to optimization methods which do not require gradient information, so-called derivative-free optimization (DFO). In this talk, I will introduce DFO
and discuss two new software packages for DFO: DFO-LS for nonlinear least-squares problems, and Py-BOBYQA (a Python implementation of Powell's BOBYQA) for general minimization problems. I will describe their novel features aimed at expensive and/or noisy problems, and show their state-of-the-art performance. Time permitting, I will also show a heuristic method which helps Py-BOBYQA to escape local minima, and show its favorable performance on global optimization problems.
Yuji Nakatsukasa ( nakatsukasa [at] nii.ac.jp )