Structure-aware methods for expensive derivative-free nonsmooth composite optimization

Abstract

We present new methods for solving a broad class of bound-constrained nonsmooth composite minimization problems. These methods are specially designed for objectives that are some known mapping of outputs from a computationally expensive function. We provide accompanying implementations of these methods: in particular, a novel manifold sampling algorithm (MS-P) with subproblems that are in a sense primal versions of the dual problems solved by previous manifold sampling methods and a method (GOOMBAH) that employs more difficult optimization subproblems. For these two methods, we provide rigorous convergence analysis and guarantees. We demonstrate extensive testing of these methods. Open-source implementations of the methods developed in this manuscript can be found at https://github.com/POptUS/ IBCDFO/.