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A direct search optimization method that models the objective and constraint functions by linear interpolation. (English) Zbl 0826.90108

Gomez, Susana (ed.) et al., Advances in optimization and numerical analysis. Proceedings of the 6th workshop on optimization and numerical analysis, Oaxaca, Mexico, January 1992. Dordrecht: Kluwer Academic Publishers. Math. Appl., Dordr. 275, 51-67 (1994).
From the author’s abstract: “An iterative algorithm is proposed for nonlinearly constrained optimization calculations when there are no derivatives. Each iteration forms linear approximations to the objective and constraint functions by interpolation at the vertices of a simplex and a trust region bound restricts each change to the variables. Thus a new vector of variables is calculated, which may replace one of the current vertices, either to improve the shape of the simplex or because it is the best vector that has been found so far”.
For the entire collection see [Zbl 0791.00028].

MSC:

90C30 Nonlinear programming

Software:

COBYLA2