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arXiv · 1005.5631

Experimental Comparisons of Derivative Free Optimization Algorithms

Anne Auger·Nikolaus Hansen·Jorge M. Perez Zerpa·Raymond Ros·Marc Schoenauer
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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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Anne Auger, Nikolaus Hansen, Jorge M. Perez Zerpa, Raymond Ros, Marc Schoenauer. 2010-05-31. Experimental Comparisons of Derivative Free Optimization Algorithms. https://arxiv.org/abs/1005.5631

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