Introduction to Derivative-Free Optimization

The absence of derivatives, often combined with the presence of noise or lack of smoothness, is a major challenge for optimization. This book explains how sampling and model techniques are used in derivative-free methods and how these methods are designed to efficiently and rigorously solve optimization problems. Although readily accessible to readers with a modest background in computational mathematics, it is also intended to be of interest to researchers in the field. Introduction to Derivative-Free Optimization is the first contemporary comprehensive treatment of optimization without derivatives. This book covers most of the relevant classes of algorithms from direct search to model-based approaches. It contains a comprehensive description of the sampling and modeling tools needed for derivative-free optimization; these tools allow the reader to better understand the convergent properties of the algorithms and identify their differences and similarities. Introduction to Derivative-Free Optimization also contains analysis of convergence for modified Nelder-Mead and implicit-filtering methods, as well as for model-based methods such as wedge methods and methods based on minimum-norm Frobenius models.