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research article

BOOSTERS: a derivative-free algorithm based on radial basis functions

Oeuvray, Rodrigue
•
Bierlaire, Michel  
2009
International Journal of Modelling and Simulation

Derivative-free optimization involves the methods used to minimize an expensive objective functionwhen its derivatives are not available. We present here a trust-region algorithmbased on Radial Basis Functions (RBFs). The main originality of our approach is the use of RBFs to build the trust-region models and our management of the interpolation points based on Newton fundamental polynomials. Moreover the complexity of ourmethod is very attractive. We have tested the algorithmagainst the best state-of-theart methods (UOBYQA, NEWUOA, DFO). The tests on the problems from the CUTEr collection show that BOOSTERS is performing very well on medium-size problems. Moreover, it is able to solve problems of dimension 200, which is considered very large in derivative-free optimization.

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Type
research article
DOI
10.2316/Journal.205.2009.1.205-4634
Author(s)
Oeuvray, Rodrigue
Bierlaire, Michel  
Date Issued

2009

Published in
International Journal of Modelling and Simulation
Volume

29

Issue

1

Start page

26

End page

36

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
TRANSP-OR  
Available on Infoscience
February 14, 2006
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/223205
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