Global convergence of radial basis function trust-region algorithms for derivative-free optimization

摘要

We analyze globally convergent, derivative-free trust-region algorithms relying on radial basis function interpolation models. Our results extend the recent work of Conn, Scheinberg, and Vicente [SIAM J. Optim., 20 (2009), pp. 387-415] to fully linear models that have a nonlinear term. We characterize the types of radial basis functions that fit in our analysis and thus show global convergence to first-order critical points for the ORBIT algorithm of Wild, Regis, and Shoemaker [SIAM J. Sci. Comput., 30 (2008), pp. 3197-3219]. Using ORBIT, we present numerical results for different types of radial basis functions on a series of test problems. We also demonstrate the use of ORBIT in finding local minima on a computationally expensive environmental engineering problem involving remediation of contaminated groundwater.