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MP
2008

Geometry of interpolation sets in derivative free optimization

13 years 11 months ago
Geometry of interpolation sets in derivative free optimization
We consider derivative free methods based on sampling approaches for nonlinear optimization problems where derivatives of the objective function are not available and cannot be directly approximated. We show how the bounds on the error between an interpolating polynomial and the true function can be used in the convergence theory of derivative free sampling methods. These bounds involve a constant that reflects the quality of the interpolation set. The main task of such a derivative free algorithm is to maintain an interpolation sampling set so that this constant remains small, and at least uniformly bounded. This constant is often described through the basis of Lagrange polynomials associated with the interpolation set. We provide an alternative, more intuitive, definition for this concept and show how this constant is related to the condition number of a certain matrix. This relation enables us to provide a range of algorithms whilst maintaining the interpolation set so that this con...
Andrew R. Conn, Katya Scheinberg, Luís N. V
Added 13 Dec 2010
Updated 13 Dec 2010
Type Journal
Year 2008
Where MP
Authors Andrew R. Conn, Katya Scheinberg, Luís N. Vicente
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