Gradient Approximation and Multi-Variable Derivative-Free Optimization based on Non-Commutative Maps

Jan Feiling; Mohamed-Ali Belabbas; Christian Ebenbauer

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arXiv · 2006.00801

Gradient Approximation and Multi-Variable Derivative-Free Optimization based on Non-Commutative Maps

Jan Feiling·Mohamed-Ali Belabbas·Christian Ebenbauer

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Abstract

In this work, multi-variable derivative-free optimization algorithms for unconstrained optimization problems are developed. A novel procedure for approximating the gradient of multi-variable objective functions based on non-commutative maps is introduced. The procedure is based on the construction of an exploration sequence to specify where the objective function is evaluated and the definition of so-called gradient generating functions which are composed with the objective function such that the procedure mimics a gradient descent algorithm. Various theoretical properties of the proposed class of algorithms are investigated and numerical examples are presented.

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BibTeX RIS

Jan Feiling, Mohamed-Ali Belabbas, Christian Ebenbauer. 2020-06-01. Gradient Approximation and Multi-Variable Derivative-Free Optimization based on Non-Commutative Maps. https://arxiv.org/abs/2006.00801

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