Parallelized hybrid optimization methods for nonsmooth problems using NOMAD and linesearch

Abstract

Two parallelized hybrid methods are presented for single-function optimization problems with side constraints. The optimization problems are difficult not only due to possible existence of local minima and nonsmoothness of functions, but also due to the fact that objective function and constraint values for a solution vector can only be obtained by querying a black box whose execution requires considerable computational effort. Examples are optimization problems in Engineering where objective function and constraint values are computed via complex simulation programs, and where local minima exist and smoothness of functions is not assured. The hybrid methods consist of the well-known method NOMAD and two new methods called DENCON and DENPAR that are based on the linesearch scheme CS-DFN. The hybrid methods compute for each query a set of solution vectors that are evaluated in parallel. The hybrid methods have been tested on a set of difficult optimization problems produced by a certain seeding scheme for multiobjective optimization. We compare computational results with solution by NOMAD, DENCON, and DENPAR as stand-alone methods. It turns out that among the stand-alone methods, NOMAD is significantly better than DENCON and DENPAR. However, the hybrid methods are definitely better than NOMAD.