Experimental Comparisons of Derivative Free Optimization Algorithms
Anne Auger, Nikolaus Hansen, Jorge Perez Zerpa, Raymond Ros and Marc Schoenauer
8th International Symposium on Experimental Algorithms
In this paper, the performances of the quasi-Newton BFGS algorithm, the NEWUOA derivative free optimizer, the Covariance Matrix Adaptation Evolution Strategy (CMA-ES), the Differential Evolution (DE) algorithm and Particle Swarm Optimizers (PSO) are compared experimentally on benchmark functions reflecting important challenges encountered in real-world optimization problems. Dependence of the performances in the conditioning of the problem and rotational invariance of the algorithms are in particular investigated.