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A Derivative-Free Gauss-Newton Method
- Publication Year :
- 2017
-
Abstract
- We present DFO-GN, a derivative-free version of the Gauss-Newton method for solving nonlinear least-squares problems. As is common in derivative-free optimization, DFO-GN uses interpolation of function values to build a model of the objective, which is then used within a trust-region framework to give a globally-convergent algorithm requiring $O(\epsilon^{-2})$ iterations to reach approximate first-order criticality within tolerance $\epsilon$. This algorithm is a simplification of the method from [H. Zhang, A. R. Conn, and K. Scheinberg, A Derivative-Free Algorithm for Least-Squares Minimization, SIAM J. Optim., 20 (2010), pp. 3555-3576], where we replace quadratic models for each residual with linear models. We demonstrate that DFO-GN performs comparably to the method of Zhang et al. in terms of objective evaluations, as well as having a substantially faster runtime and improved scalability.
- Subjects :
- Mathematics - Optimization and Control
Subjects
Details
- Database :
- arXiv
- Publication Type :
- Report
- Accession number :
- edsarx.1710.11005
- Document Type :
- Working Paper