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Survey of derivative-free optimization

  • * Corresponding author: Min Xi

    * Corresponding author: Min Xi 

This research was supported by the National Natural Science Foundation of China under grants 11571178

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  • In this survey paper we present an overview of derivative-free optimization, including basic concepts, theories, derivative-free methods and some applications. To date, there are mainly three classes of derivative-free methods and we concentrate on two of them, they are direct search methods and model-based methods. In this paper, we first focus on unconstrained optimization problems and review some classical direct search methods and model-based methods in turn for these problems. Then, we survey a number of derivative-free approaches for problems with constraints, including an algorithm we proposed for spherical optimization recently.

    Mathematics Subject Classification: Primary: 90C56; Secondary: 90C30.


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