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How much do approximate derivatives hurt filter methods?

Published online by Cambridge University Press:  22 July 2009

Caroline Sainvitu
Caroline Sainvitu*
Affiliation:
CENAERO, Eole Building, 29, Rue des Frères Wright, B-6041 Gosselies, Belgium; caroline.sainvitu@cenaero.be
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Abstract

In this paper, we examine the influence of approximate first and/or second derivatives on the filter-trust-region algorithm designed for solving unconstrained nonlinear optimization problems and proposed by Gould, Sainvitu and Toint in [12]. Numerical experiments carried out on small-scaled unconstrained problems from the CUTEr collection describe the effect of the use of approximate derivatives on the robustness and the efficiency of the filter-trust-region method.

Keywords

Unconstrained optimizationfilter techniquestrust-region algorithmsapproximate derivativesnumerical results.Optimisation sans contraintesméthode de filtrealgorithme de type de région de confiancedérivées approximéesrésultats numériques.
Type
Research Article
Information
RAIRO - Operations Research , Volume 43 , Issue 3: ROADEF 06 , July 2009 , pp. 309 - 329
Copyright
© EDP Sciences, ROADEF, SMAI, 2009

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References

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