On the Convergence of the Multidirectional Search Algorithm

Abstract

. This paper presents the convergence analysis for the multidirectional search algorithm,a direct search method for unconstrained minimization. The analysis follows the classic linesof proofs of convergence for gradient-related methods. The novelty of the argument lies in the factthat explicit calculation of the gradient is unnecessary, although it is assumed that the function iscontinuously differentiable over some subset of the domain. The proof can be extended to treat mostnonsmooth...