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Experimental Comparisons of Derivative Free Optimization Algorithms

Anne Auger, Nikolaus Hansen, Jorge M Perez Zerpa, Raymond Ros (INRIA Saclay - Ile de France), and Marc Schoenauer

Audio, Transactions of the IRE Professional Group on (2010)

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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