Journal
SIAM JOURNAL ON OPTIMIZATION
Volume 20, Issue 1, Pages 172-191Publisher
SIAM PUBLICATIONS
DOI: 10.1137/080724083
Keywords
derivative-free optimization; benchmarking; performance evaluation; deterministic simulations; computational budget
Categories
Funding
- Office of Advanced Scientific Computing Research
- Office of Science
- U.S. Department of Energy [DE-AC02-06CH11357]
- DOE Computational Science Graduate Fellowship [DE-FG02-97ER25308]
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We propose data profiles as a tool for analyzing the performance of derivative-free optimization solvers when there are constraints on the computational budget. We use performance and data profiles, together with a convergence test that measures the decrease in function value, to analyze the performance of three solvers on sets of smooth, noisy, and piecewise-smooth problems. Our results provide estimates for the performance difference between these solvers, and show that on these problems, the model-based solver tested performs better than the two direct search solvers tested.
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