Title: New Gradient and Hessian Approximation Methods for Derivative-free Optimisation

Speaker: Chayne Planiden (UoW)

Date and Time: November 4th, 2020, 17:00 AEDT (Register here for remote connection via Zoom)

Abstract: In general, derivative-free optimisation (DFO) uses approximations of first- and second-order information in minimisation algorithms. DFO is found in direct-search, model-based, trust-region and other mainstream optimisation techniques and is gaining popularity in recent years. This work discusses previous results on some particular uses of DFO: the proximal bundle method and the VU-algorithm, and then presents improvements made this year on the gradient and Hessian approximation techniques. These improvements can be inserted into any routine that requires such estimations.