arXiv subjects

Andrea Brilli

Publications and source records attributed to Andrea Brilli.

6 recordsLinked to original sources

arXiv2026

A penalty-interior point method combined with MADS for equality and inequality constrained optimization

This work introduces MADS-PIP, an efficient framework that integrates a penalty-interior point strategy into the mesh adaptive direct search (MADS) algorithm for solving nonsmooth blackbox optimization problems with general inequality and equality constraints. Inequality constraints are partitioned into two subsets: one treated via a logarithmic barrier applied to an aggregated interior constraint violation, and the other handled through an exterior quadratic penalty. All equality constraints are treated by the exterior penalty. A merit function defines a sequence of unconstrained subproblems, which are solved approximately using MADS, while a carefully designed update rule drives the penalty-barrier parameter to zero. In the nonsmooth setting, we establish convergence results ensuring feasibility for general constraints as well as Clarke stationarity for inequality-constrained problems. Computational experiments on both analytical test sets and challenging blackbox problems demonstrate that the proposed MADS-PIP algorithm is competitive with, and often outperforms, MADS with the progressive barrier strategy, particularly in the presence of equality constraints.

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arXiv2025

Nonlinear Derivative-free Constrained Optimization with a Penalty-Interior Point Method and Direct Search

In this work, we propose the joint use of a mixed penalty-interior point method and direct search, for addressing nonlinearly constrained derivative-free optimization problems. A merit function is considered, wherein the set of nonlinear inequality constraints is divided into two groups: one treated with a logarithmic barrier approach, and another, along with the equality constraints, addressed using a penalization term. This strategy, is adapted and incorporated into a direct search method, enabling the effective handling of general nonlinear constraints. Convergence to KKT-stationary points is established under continuous differentiability assumptions, without requiring any kind of convexity. Using CUTEst test problems, numerical experiments demonstrate the robustness, efficiency, and overall effectiveness of the proposed method, when compared with state-of-the-art solvers

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arXiv2024

Nonlinear Derivative-free Constrained Optimization with a Penalty-Interior Point Method and Direct Search

In this work, the joint use of a mixed penalty-interior point method and direct search is proposed, to address {nonlinear} constrained derivative-free optimization problems. A merit function is considered, wherein the set of nonlinear inequality constraints is divided into two groups: one treated with a logarithmic barrier approach, and another, along with the equality constraints, addressed using a penalization term. This strategy is adapted and incorporated into a direct search method, enabling the effective handling of general nonlinear constraints. Convergence to KKT-stationary points is established under continuous differentiability assumptions, without requiring any kind of convexity. Computational experiments on analytical problems and an engineering application demonstrate the robustness, efficiency, and overall effectiveness of the proposed method, when compared with state-of-the-art solvers.

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arXiv2024

Complexity results and active-set identification of a derivative-free method for bound-constrained problems

In this paper, we analyze a derivative-free line search method designed for bound-constrained problems. Our analysis demonstrates that this method exhibits a worst-case complexity comparable to other derivative-free methods for unconstrained and linearly constrained problems. In particular, when minimizing a function with $n$ variables, we prove that at most ${\cal O(n\epsilon^{-2})}$ iterations are needed to drive a criticality measure below a predefined threshold $\epsilon$, requiring at most ${\cal O(n^2\epsilon^{-2})}$ function evaluations. We also show that the total number of iterations where the criticality measure is not below $\epsilon$ is upper bounded by ${\cal O(n^2\epsilon^{-2})}$. Moreover, we investigate the method capability to identify active constraints at the final solutions. We show that, after a finite number of iterations, all the active constraints satisfying the strict complementarity condition are correctly identified.

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arXiv2023

Worst case complexity bounds for linesearch-type derivative-free algorithms

This paper is devoted to the analysis of worst case complexity bounds for linesearch-type derivative-free algorithms for the minimization of general non-convex smooth functions. We prove that two linesearch-type algorithms enjoy the same complexity properties which have been proved for pattern and direct search algorithms. In particular, we consider two derivative-free algorithms based on two different linesearch techniques and manage to prove that the number of iterations and of function evaluations required to drive the norm of the gradient of the objective function below a given threshold $\epsilon$ is ${\cal O}(\epsilon^{-2})$ in the worst case.

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arXiv2021

An interior point method for nonlinear constrained derivative-free optimization

In this paper we consider constrained optimization problems where both the objective and constraint functions are of the black-box type. Furthermore, we assume that the nonlinear inequality constraints are non-relaxable, i.e. their values and that of the objective function cannot be computed outside of the feasible region. This situation happens frequently in practice especially in the black-box setting where function values are typically computed by means of complex simulation programs which may fail to execute if the considered point is outside of the feasible region. For such problems, we propose a new derivative-free optimization method which is based on the use of a merit function that handles inequality constraints by means of a log-barrier approach and equality constraints by means of a quadratic penalty approach. We prove convergence of the proposed method to KKT stationary points of the problem under quite mild assumptions. Furthermore, we also carry out a preliminary numerical experience on standard test problems and comparison with a state-of-the-art solver which shows efficiency of the proposed method.

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