Optimization via Chebyshev Polynomials
arXiv:1603.00863 · doi:10.1007/s12190-016-1076-x
Abstract
This paper presents for the first time a robust exact line-search method based on a full pseudospectral (PS) numerical scheme employing orthogonal polynomials. The proposed method takes on an adaptive search procedure and combines the superior accuracy of Chebyshev PS approximations with the high-order approximations obtained through Chebyshev PS differentiation matrices (CPSDMs). In addition, the method exhibits quadratic convergence rate by enforcing an adaptive Newton search iterative scheme. A rigorous error analysis of the proposed method is presented along with a detailed set of pseudocodes for the established computational algorithms. Several numerical experiments are conducted on one- and multi-dimensional optimization test problems to illustrate the advantages of the proposed strategy.
26 pages, 6 figures, 2 tables