On the Local Convergence of Pattern Search

نویسندگان

  • Elizabeth D. Dolan
  • Robert Michael Lewis
  • Virginia Torczon
چکیده

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 analyze the behavior of pattern search in the neighborhood of an isolated local minimizer. We show that a recognizable subsequence converges r-linearly to the minimizer.

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عنوان ژورنال:
  • SIAM Journal on Optimization

دوره 14  شماره 

صفحات  -

تاریخ انتشار 2003