Parallel Space Decomposition of the Mesh Adaptive Direct Search Algorithm

This paper describes a Parallel Space Decomposition (PSD) technique for the Mesh Adaptive Direct Search (MADS) algorithm. MADS extends Generalized Pattern Search for constrained nonsmooth optimization problems. The objective here is to solve larger problems more efficiently. The new method (PSD-MADS) is an asynchronous parallel algorithm in which the processes solve problems over subsets of variables. The convergence analysis based on the Clarke calculus is essentially the same as for the MADS algorithm. A practical implementation is described and some numerical results on problems with up to 500 variables illustrate advantages and limitations of PSD-MADS.