Convergence of Mesh Adaptive Direct Search to Second‐Order Stationary Points

A previous analysis of second‐order behavior of generalized pattern search algorithms for unconstrained and linearly constrained minimization is extended to the more general class of mesh adaptive direct search (MADS) algorithms for general constrained optimization. Because of the ability of MADS to generate an asymptotically dense set of search directions, we are able to establish reasonable conditions under which a subsequence of MADS iterates converges to a limit point satisfying second‐order necessary or sufficient optimality conditions for general set‐constrained optimization problems.