Group for Research in Decision Analysis

The optimization plow horse

Charles Audet Full professor, Department of Mathematics and Industrial Engineering, Polytechnique Montréal, Canada

Some problems do not possess the required structure to be addressed by traditional optimization methods. In this presentation, we focus on situations where the evaluation of the functions to be minimized and those bounding the feasible region are assessed by running a computer simulation, expensive in terms of computational time. These functions are usually nonsmooth, discontinuous, and may even be contaminated by numerical noise. We will present a brief history of direct-search methods designed for these blackbox optimization problems, and their convergence analysis using nonsmooth calculus. We will also discuss the use of surrogate functions and the development of models. We will also list research activities conducted here at GERAD.

Coffee and biscuits will be offered at the beginning of the seminar.
Welcome to everyone!