Beyond the Black Box in Derivative-Free and Simulation-Based Optimization

Event Sponsor: 
Mathematics and Computer Science Division LANS Seminar
Start Date: 
Jun 29 2016 - 3:00pm
Building/Room: 
Building 240/Room 1404-1405
Location: 
Argonne National Laboratory
Speaker(s): 
Stefan Wild
Speaker(s) Title: 
Argonne National Laboratory, MCS

The advent of computational science has unveiled large classes of nonlinear optimization problems where derivatives of the objective and/or constraints are unavailable. Often, these problems are posed as black-box optimization problems, but rarely is this by necessity. We report on our experience extracting additional structure on problems consisting of both black-box and algebraic or otherwise known components. We provide examples on calibration problems, knowing a subset of derivatives, and nonsmooth composite optimization. In each case, we use quadratic surrogates to model both the black-box and algebraic components to obtain new, globally convergent grey-box optimization methods.

Miscellaneous Information: 

Coffee & goodies will be served.

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