Analysis and Applied Mathematics Seminar
Jeffrey Larson
Mathematics & Computer Science, Argonne National Laboratory
Expensive Derivative-Free Nonsmooth Composite Optimization
Abstract: We present new methods for solving a broad class of bound-constrained smooth and
nonsmooth composite minimization problems. These methods are specially designed
for objectives that are some known mapping of outputs from a computationally
expensive function. We provide accompanying implementations of these methods: in
particular, a novel manifold sampling algorithm with subproblems that are in a
sense primal versions of the dual problems solved by previous manifold sampling
methods and a method that employs more difficult optimization subproblems. For
these two methods, we provide rigorous convergence analysis and guarantees. We
demonstrate extensive testing of these methods. Open-source implementations of
these methods are available.
Monday October 23, 2023 at 4:00 PM in 636 SEO