Trust-region Method for Derivative Free Case

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Addis Ababa University


III this project a derivative-free (DF) surrogate-based trust regioll optimization approach is proposed. In the proposed approach, quadratic surrogate models are constructed and successively IIpdated. The generated surrogate model is then optimized instead oj the underlined objective j unction over trust regions. Trullcated conjugate gradients are employed to find the optimal point within each trust region. The approach COl/structs the initial quadratic surrogate model using few data points oj order 0(11), where II is the lIumber oj design variables. The proposed approach adopts weighted least squares fitting Jar updatillg the SlIrrogate model illstead oj interpolation which ;s commollly used ill DF optimization, This makes the approach more suitable/or s tochastic optim ization and for funcliolls subject [0 I/Il1llerical error. The weights are assigl/ed 10 give more emphasis to points close to th e current center point.



• Derivative-free optimization; • Quadratic surrogate lIlodel; • Trust region;