CONDOR, a new parallel, constrained extension of Powell's UOBYQA algorithm: Experimental results and comparison with the DFO algorithm

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS

卷:181

Article

Vanden Berghen, F ; Bersini, H

关键词: nonlinear;    high-computing-load;    noisy optimization;    Lagrange interpolation;    trust region method;    optimal shape design;    parallel computing;   

DOI  :  10.1016/j.cam.2004.11.029

来源: Elsevier

【 摘 要 】

This paper presents an algorithmic extension of Powell's UOBYQA algorithm (Unconstrained Optimization BY Quadratical Approximation). We start by summarizing the original algorithm of Powell and by presenting it in a more comprehensible form. Thereafter, we report comparative numerical results between UOBYQA, DFO and a parallel, constrained extension of UOBYQA that will be called in the paper CONDOR (COnstrained, Non-linear, Direct, parallel Optimization using trust Region method for high-computing load function). The experimental results are very encouraging and validate the approach. They open wide possibilities in the field of noisy and high-computing-load objective functions optimization (from 2 min to several days) like, for instance, industrial shape optimization based on computation fluid dynamic codes or partial differential equations solvers. Finally, we present a new, easily comprehensible and fully stand-alone implementation in C++ of the parallel algorithm. (c) 2004 Elsevier B.V. All rights reserved.

【 授权许可】

Free