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A penalty derivative-free algorithm for nonlinear constrained optimization. (English) Zbl 1353.90146

Summary: In this paper, we modify a derivative-free line search algorithm (DFL) proposed in [G. Liuzzi et al., SIAM J. Optim. 20, No. 5, 2614–2635 (2010; Zbl 1223.65045)] to minimize a continuously differentiable function of box constrained variables or unconstrained variables with nonlinear constraints. The first-order derivatives of the objective function and of the constraints are assumed to be neither calculated nor explicitly approximated. Different line-searches are used for box-constrained variables and unconstrained variables. Accordingly the convergence to stationary points is proved. The computational behavior of the method has been evaluated on a set of test problems. The performance and data profiles are used to compare with DFL.

MSC:

90C30 Nonlinear programming
90C56 Derivative-free methods and methods using generalized derivatives

Citations:

Zbl 1223.65045
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References:

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