Direct Search Based on Probabilistic Descent

@article{Gratton2015DirectSB,
  title={Direct Search Based on Probabilistic Descent},
  author={Serge Gratton and Cl{\'e}ment W. Royer and Lu{\'i}s Nunes Vicente and Zaikun Zhang},
  journal={SIAM Journal on Optimization},
  year={2015},
  volume={25},
  pages={1515-1541}
}
Direct-search methods are a class of popular derivative-free algorithms characterized by evaluating the objective function using a step size and a number of (polling) directions. When applied to the minimization of smooth functions, the polling directions are typically taken from positive spanning sets which in turn must have at least n+1 vectors in an n… CONTINUE READING