On the direct searches for non-smooth stochastic optimization problems  

作　　者：Huang Tianyun 

机构地区：[1]School of Computer Science and Technology, Southwest Univ. for Nationalities, Chengdu 510041, P. R. China

出　　处：《Journal of Systems Engineering and Electronics》2009年第4期889-898,共10页系统工程与电子技术（英文版）

基　　金：supported by the Key Foundation of Southwest University for Nationalities(09NZD001).

摘　　要：Many difficult engineering problems cannot be solved by the conventional optimization techniques in practice. Direct searches that need no recourse to explicit derivatives are revived and become popular since the new century. In order to get a deep insight into this field, some notes on the direct searches for non-smooth optimization problems are made. The global convergence vs. local convergence and their influences on expected solutions for simulation-based stochastic optimization are pointed out. The sufficient and simple decrease criteria for step acceptance are analyzed, and why simple decrease is enough for globalization in direct searches is identified. The reason to introduce the positive spanning set and its usage in direct searches is explained. Other topics such as the generalization of direct searches to bound, linear and non-linear constraints are also briefly discussed.Many difficult engineering problems cannot be solved by the conventional optimization techniques in practice. Direct searches that need no recourse to explicit derivatives are revived and become popular since the new century. In order to get a deep insight into this field, some notes on the direct searches for non-smooth optimization problems are made. The global convergence vs. local convergence and their influences on expected solutions for simulation-based stochastic optimization are pointed out. The sufficient and simple decrease criteria for step acceptance are analyzed, and why simple decrease is enough for globalization in direct searches is identified. The reason to introduce the positive spanning set and its usage in direct searches is explained. Other topics such as the generalization of direct searches to bound, linear and non-linear constraints are also briefly discussed.

关 键 词：non-linear programming non-smooth optimization stochastic simulation direct searches positive spanning set convergence analysis pattern selection. 

分 类 号：N94[自然科学总论—系统科学]