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CONDOR, a new parallel, constrained extension of Powell's UOBYQA algorithm: Experimental results and comparison with the DFO algorithm

par Vanden Berghen, Frank ;Bersini, Hugues
Référence Journal of computational and applied mathematics, 181, 1, page (157-175)
Publication Publié, 2005-09

Article révisé par les pairs

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Résumé :

This paper presents an algorithmic extension of Powell's UOBYQA algorithm (Unconstrained Optimization BY Quadratical Approximation). We start by summarizing the original algorithm of Powell and by presenting it in a more comprehensible form. Thereafter, we report comparative numerical results between UOBYQA, DFO and a parallel, constrained extension of UOBYQA that will be called in the paper CONDOR (COnstrained, Non-linear, Direct, parallel Optimization using trust Region method for high-computing load function). The experimental results are very encouraging and validate the approach. They open wide possibilities in the field of noisy and high-computing-load objective functions optimization (from 2 min to several days) like, for instance, industrial shape optimization based on computation fluid dynamic codes or partial differential equations solvers. Finally, we present a new, easily comprehensible and fully stand-alone implementation in C++ of the parallel algorithm. © 2004 Elsevier B.V. All rights reserved.