78. A gradient-free optimisation algorithm
Invited abstract in session TD-6: Stochastic methods, stream Methods for non-/monotone inclusions and their applications.
Thursday, 14:10 - 15:50Room: M:H
Authors (first author is the speaker)
| 1. | Ettore Fincato
|
| Mathematics, University of Bristol |
Abstract
We develop a gradient-free algorithm for the minimisation of strongly lower-semicontinuous, lower-bounded functions. The definition of the algorithm does not require differentiability or convexity of the target function, and the implementation can be carried out by simple or sequential Monte Carlo procedures. We develop supporting theory, prove convergence of the algorithm and provide numerical experiments.
Keywords
- Derivative-free optimization
- Complementarity and variational problems
Status: accepted
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