直接搜索算法资料.pdfVIP

Direct search methods:then and now 直接搜索法：历史和现状 Robert Michael Lewis a ,1 ,Virginia Torezon a ,b,*,2 ,Michael W. Trossetc ,a a ICASE, Mail Stop 132C, NASA Langley Research Center, Hampton,VA 23681-2199. USA b Department of Computer Science, College of William Mary, P.O. Box 8795, Williamsburg, VA 23187-8795, USA c Department of Mathematics, College of William Mary, P.O. Box 8795, Williamsburg, VA 23187-8795, USA Received 1 July 1999; received in revised form 23 February 2000 Abstract 摘要 我们讨论无约束优化的直接搜索法。我们从现在的观点来看这类与导 数无关的算法， 主要集中在1960 到1971 年的直接搜索法发展的黄金时期。我们首先 讨论在未构建目标模型的情况怎样使用直接搜索法。然后我们考虑一 些经典直接搜索法并揭示那些年这类算法的进展。特别地，当原始直 接搜索法开始直接利用启发式方法时，更多近来的分析表明，虽然不 是全部但大部分启发式方法实际上已经足可以保证迭代序列中至少有 一个子序列全局收敛到目标函数的一阶驻点。 关键词：求导无关优化；直接搜索法；模式搜索法 We discuss direct search methods for unconstrained optimization. We give a modern perspective on this classical family of derivative-free algorithms, focusing on the development of direct search methods during their golden age from 1960 to 1971. We discuss how direct search methods are characterized by the absence of the construction of a model of the objective. We then consider a number of the classical direct search methods and discuss what research in the intervening years has uncovered about these algorithms. In particular, while the original direct search methods were consciously based on straightforward heuristics, more recent analysis has shown that in most –but not all – cases these heuristics actually suffice to ensure global convergence of at least one subsequence of the sequence of iterates to a first-order stationary point of the objective function. © 2000 Elsevier Science B.V. All rights reserved. Keywords: Derivative-free optimization; Direct search methods; Pattern search methods 1. Introduction 1． 引言 罗伯特 ·胡克和T.A.捷吾斯首先在1961 年的计算机械协会期刊上 的一篇论文上提出“直接搜索”[12].在他们的论文的引言中这样 描述直接搜索： Robert Hooke and T.A. Jeeves coined