On the Local Convergence of Pattern Search
We examine the local convergence properties of pattern search methods, complementing the previously established global convergence properties for this class of algorithms. We show that the step-length control parameter which appears in the definition of pattern search algorithms provides a reliable...
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Veröffentlicht in: | SIAM journal on optimization 2003-01, Vol.14 (2), p.567-583 |
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Hauptverfasser: | , , |
Format: | Artikel |
Sprache: | eng |
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Online-Zugang: | Volltext |
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Zusammenfassung: | We examine the local convergence properties of pattern search methods, complementing the previously established global convergence properties for this class of algorithms. We show that the step-length control parameter which appears in the definition of pattern search algorithms provides a reliable asymptotic measure of first-order stationarity. This gives an analytical justification for a traditional stopping criterion for pattern search methods. Using this measure of first-order stationarity, we both revisit the global convergence properties of pattern search and analyze the behavior of pattern search in the neighborhood of an isolated local minimizer. |
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ISSN: | 1052-6234 1095-7189 |
DOI: | 10.1137/S1052623400374495 |