An Improved Direct Search Mathematical Programming Algorithm

Abstract

An improved, nonlinear, constrained algorithm is presented, coupling a rotating coordinate pattern search with a feasible direction finding procedure used at points of pattern search termination. The procedure is compared with eighteen algorithms, including most of the popular methods, on ten test problems. These problems are such that the majority of codes failed to solve more than half of them. The new method proved superior to all others in the overall generality and efficiency rating, being the only one solving all problems.