Trust-region methods for the derivative-free optimization of nonsmooth black-box functions
In this paper we study the minimization of a nonsmooth black-box type function, without assuming any access to derivatives or generalized derivatives and without any knowledge about the analytical origin of the function nonsmoothness. Directional methods have been derived for such problems, but to our knowledge no model-based method like a trust-region one has yet been proposed. Our main contribution is thus the derivation of derivative-free trust-region methods (TRMs) for black-box type function.