Abstract
In this paper, the performances of the quasi-Newton BFGS algorithm, the NEWUOA derivative free optimizer, the Covariance Matrix Adaptation Evolution Strategy (CMA-ES), the Differential Evolution (DE) algorithm and Particle Swarm Optimizers (PSO) are compared experimentally on benchmark functions reflecting important challenges encountered in real-world optimization problems. Dependence of the performances in the conditioning of the problem and rotational invariance of the algorithms are in particular investigated.
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Auger, A., Hansen, N., Perez Zerpa, J.M., Ros, R., Schoenauer, M. (2009). Experimental Comparisons of Derivative Free Optimization Algorithms. In: Vahrenhold, J. (eds) Experimental Algorithms. SEA 2009. Lecture Notes in Computer Science, vol 5526. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-02011-7_3
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DOI: https://doi.org/10.1007/978-3-642-02011-7_3
Publisher Name: Springer, Berlin, Heidelberg
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