Experimental Comparisons of Derivative Free Optimization Algorithms

Anne Auger 1, 2 Nikolaus Hansen 2 Jorge Perez Zerpa 1 Raymond Ros 1 Marc Schoenauer 1, 2
1 TAO - Machine Learning and Optimisation
LRI - Laboratoire de Recherche en Informatique, UP11 - Université Paris-Sud - Paris 11, Inria Saclay - Ile de France, CNRS - Centre National de la Recherche Scientifique : UMR8623
Abstract : In this paper, the performances of the quasi-Newton BFGS algorithm, the NEWUOA derivative free optimizer, the Covariance Matrix Adaptation Evolution Strategy (CMA-ES), the Differential Evolution (DE) algorithm and Particle Swarm Optimizers (PSO) are compared experimentally on benchmark functions reflecting important challenges encountered in real-world optimization problems. Dependence of the performances in the conditioning of the problem and rotational invariance of the algorithms are in particular investigated.
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Conference papers
Jan Vahrenhold. 8th International Symposium on Experimental Algorithms, Jun 2009, Dortmund, Germany. Springer Verlag, 2009, LNCS
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  • HAL Id : inria-00397334, version 3
  • ARXIV : 1005.5631

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Anne Auger, Nikolaus Hansen, Jorge Perez Zerpa, Raymond Ros, Marc Schoenauer. Experimental Comparisons of Derivative Free Optimization Algorithms. Jan Vahrenhold. 8th International Symposium on Experimental Algorithms, Jun 2009, Dortmund, Germany. Springer Verlag, 2009, LNCS. <inria-00397334v3>

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