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Derivative-free nonlinear optimization filter simplex

Aldina Correia, João Matias, Pedro Mestre, Carlos Serodio (2010)

International Journal of Applied Mathematics and Computer Science

The filter method is a technique for solving nonlinear programming problems. The filter algorithm has two phases in each iteration. The first one reduces a measure of infeasibility, while in the second the objective function value is reduced. In real optimization problems, usually the objective function is not differentiable or its derivatives are unknown. In these cases it becomes essential to use optimization methods where the calculation of the derivatives or the verification of their existence...

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