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Clément W. Royer

La version française de cette page se trouve ici.

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Codes

DSPFD: Direct Search based on Probabilistic Feasible Descent Sources
     A direct-search MATLAB code for derivative-free optimization. The current version supports unconstrained, bound constrained and linearly constrained problems. It is based on using randomly generated directions to lower the cost in function evaluations compared to deterministic methods, whithout compromising convergence guarantees.
     This code is maintained and was used in this paper. On unconstrained problems, it corresponds to the method presented in this paper.

DESTRESS: DEcoupled Steps in a Trust-REgionS Strategy Sources
     A trust-region method in MATLAB for smooth, unconstrained optimization problems, endowed with second-order convergence guarantees. It relies on the so-called de-coupling technique, that I introduced in my thesis. The code can run with or without derivatives.
     This code is maintained and was developed for this paper.

SOUNDS: Second-Order UNconstrained Direct Search Sources
     Direct-search algorithms in MATLAB for smooth, unconstrained, derivative-free optimization problems. The code encompasses several methods that possess (weak or strong) second-order convergence guarantees.
     This code is maintained: it gathers algorithms SDS and AHDS studied in this paper, as well as the de-coupled direct search methods introduced in my thesis.

LISA: LIne-Search Algorithms Coming soon
     A MATLAB library of line-search methods including classical as well as recently developed frameworks, with a focus on second-order convergent algorithms.
     A preliminary version of this code is available upon request: it implements in particular the second-order line-search techniques introduced in this paper as well as this one.

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