Finding Optimal Algorithmic Parameters Using Derivative‐Free Optimization

The objectives of this paper are twofold. We devise a general framework for identifying locally optimal algorithmic parameters. Algorithmic parameters are treated as decision variables in a problem for which no derivative knowledge or existence is assumed. A derivative‐free method for optimization seeks to minimize some measure of performance of the algorithm being fine‐tuned. This measure is treated as a black‐box and may be chosen by the user. Examples are given in the text. The second objective is to illustrate this framework by specializing it to the identification of locally optimal trust‐region parameters in unconstrained optimization. The derivative‐free method chosen to guide the process is the mesh adaptive direct search, a generalization of pattern search methods. We illustrate the flexibility of the latter and in particular make provision for surrogate objectives. Locally, optimal parameters with respect to overall computational time on a set of test problems are identified. Each function call may take several hours and may not always return a predictable result. A tailored surrogate function is used to guide the search towards a local solution. The parameters thus identified differ from traditionally used values, and allow one to solve a problem that remained otherwise unsolved in a reasonable time using traditional values.