A View of Unconstrained Minimization Algorithms that Do Not Require Derivatives

Existing algorithms are examined, with particular attention given to their merits and defects, in order to identify the techniques which may give methods for minimizahon without derivatives that are better than the methods we have at present. "Quasi-Newton" and "conjugate direction" algorithms are studmd, and it is noted that both these classes of methods have fundamental disadvantages To overcome these disadvantages another class of algorithms suggests itself, called "B-conjugate" methods. Some comments are made on the construction of good algorithms within this class.

[1]  H. H. Rosenbrock,et al.  An Automatic Method for Finding the Greatest or Least Value of a Function , 1960, Comput. J..

[2]  M. J. D. Powell,et al.  An efficient method for finding the minimum of a function of several variables without calculating derivatives , 1964, Comput. J..

[3]  R. E. Kalman,et al.  Optimum Seeking Methods. , 1964 .

[4]  G. W. Stewart,et al.  A Modification of Davidon's Minimization Method to Accept Difference Approximations of Derivatives , 1967, JACM.

[5]  M. R. Osborne,et al.  Methods for unconstrained optimization problems , 1968 .

[6]  J. Greenstadt Variations on variable-metric methods. (With discussion) , 1970 .

[7]  R. Fletcher,et al.  A New Approach to Variable Metric Algorithms , 1970, Comput. J..

[8]  J. Greenstadt Variations on Variable-Metric Methods , 1970 .

[9]  D. Goldfarb A family of variable-metric methods derived by variational means , 1970 .

[10]  M. J. D. Powell,et al.  Recent advances in unconstrained optimization , 1971, Math. Program..

[11]  P. Gill,et al.  Quasi-Newton Methods for Unconstrained Optimization , 1972 .

[12]  J. Greenstadt A Quasi-Newton Method with No Derivatives , 1972 .

[13]  D. Winfield,et al.  Function Minimization by Interpolation in a Data Table , 1973 .

[14]  Robert Mifflin,et al.  A superlinearly convergent algorithm for minimization without evaluating derivatives , 1975, Math. Program..

[15]  R. Brent Table errata: Algorithms for minimization without derivatives (Prentice-Hall, Englewood Cliffs, N. J., 1973) , 1975 .