A Line Search Method with Memory for Unconstrained Optimization of Noisy Functions
Date Issued
2015
Author(s)
Natasa Krejic
Zorana Luzanin
Nikolovski, Filip
Abstract
We propose a new line search method for unconstrained optimization of noisy functions. The nonmonotone line search rule is based on Ulbrich’s nonmonotone component [SIAM J. on Optimiz., 11 (4) (2001), 889–917]. The method uses only nosy functional values. Convergence under standard assumptions is established. Computational results show a good performance of the method compared with the monotone one.