Improvement of a filters method in a derivative free optimization

• Author(s): Matias, João ; Mestre, Pedro ; Correia, Aldina ; Serôdio, Carlos
• Date: 2012
• Persistent ID: http://hdl.handle.net/10400.22/4071
• Origin: Repositório Científico do Instituto Politécnico do Porto
• Subject(s): Constrained nonlinear optimization; Filters method; Direct search methods
• Document Type: Conference Object
• Language: English

Description

Constraints nonlinear optimization problems can be solved using penalty or barrier functions. This strategy, based on solving the problems without constraints obtained from the original problem, have shown to be e ective, particularly when used with direct search methods. An alternative to solve the previous problems is the lters method. The lters method introduced by Fletcher and Ley er in 2002, , has been widely used to solve problems of the type mentioned above. These methods use a strategy di erent from the barrier or penalty functions. The previous functions de ne a new one that combine the objective function and the constraints, while the lters method treat optimization problems as a bi-objective problems that minimize the objective function and a function that aggregates the constraints. Motivated by the work of Audet and Dennis in 2004, using lters method with derivative-free algorithms, the authors developed works where other direct search meth- ods were used, combining their potential with the lters method. More recently. In a new variant of these methods was presented, where it some alternative aggregation restrictions for the construction of lters were proposed. This paper presents a variant of the lters method, more robust than the previous ones, that has been implemented with a safeguard procedure where values of the function and constraints are interlinked and not treated completely independently.