MNH : A Derivative-Free Optimization Algorithm Using Minimal

  title={MNH : A Derivative-Free Optimization Algorithm Using Minimal},
  author={Stefan M. Wild},
We introduce MNH, a new algorithm for unconstrained optimization when derivatives are unavailable, primarily targeting applications that require running computationally expensive deterministic simulations. MNH relies on a trust-region framework with an underdetermined quadratic model that interpolates the function at a set of data points. We show how to construct this interpolation set to yield computationally stable parameters for the model and, in doing so, obtain an algorithm which converges… CONTINUE READING


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