Academy of Mathematics and Systems Science, CAS
Colloquia & Seminars

Speaker:	Professor Yinyu Ye,Stanford University, USA
Inviter:	Center for Optimiztion and Applications
Title:	SOLNP+: A Zero-Order Optimization Solver for Nonlinear Programming
Language:	Chinese
Time & Venue:	2023.06.24 15:30-16:30 Z311
Abstract:	Zero-Order or Derivative-Free optimization methods have become popular due to recent developments in Machine-Learning and AI-Training. In this talk, we describe a zero-order optimization solver, SOLNP+, which is able to solve general nonlinear constrained or unconstrained problems only using zero-order function information. There are two kinds of methods in this field: direct search method and model-based method, the representative solvers of which are NOMAD and COBYLA respectively. SOLNP+ belongs to the latter category that use various finite-difference computations to approximate gradients. SOLNP+ is coded in C and adopts various gradient and/or Hessian estimation techniques, including the implicit filtering to adaptively choose the step, randomized and block-coordinate direction search, the BFGS Hessian update, the dimension-reduced trust-region, the Augmented Lagrangian, the Interior-Point method, and etc. The computational results on solving classical benchmark and real application problems will be presented.