initial_delta

Initial step size for derivative-free optimizers

Specification

• Alias: None

• Arguments: REAL

• Default: 1.0 (COBYLA), 0.1*range (PS, SW)

Description

The initial_delta keyword defines the size of the first search step in derivative-free optimization methods, specifically asynch_pattern_search, coliny_cobyla, coliny_pattern_search, coliny_solis_wets, and mesh_adaptive_search. It is applied in an absolute sense to all search directions.

Default Behavior

The default value is 1.0.

Usage Tips

It is recommended that initial_delta be the approximate distance from the initial point to the solution. If this distance is unknown, it is advisable to err on the side of choosing an initial_delta that is too large or to not specify it. Relative application of initial_delta is not available unless the user scales the problem accordingly.

Examples

Three example method input blocks appear below.

For asynch_pattern_search:

method
  asynch_pattern_search
    initial_delta = .5
    contraction_factor = 0.25
    merit_function merit1_smooth
    smoothing_factor = 1.0
    constraint_tolerance = 1.e-6

For coliny_pattern_search:

method
  coliny_pattern_search
    initial_delta = .2
    variable_tolerance = 1.e-4
    max_iterations 100
    solution_accuracy = 1.e-6
    seed = 1234
    max_function_evaluations = 1000

For mesh_adaptive_search

method
  mesh_adaptive_search
    initial_delta = 2.0
    seed = 1234