Benchmarking Derivative-Free Optimization Algorithms
SIAM Journal on Optimization2009Vol. 20(1), pp. 172–191
Citations Over TimeTop 1% of 2009 papers
Abstract
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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