Regularised black-box optimisation algorithms for least-squares problems

Least-squares problems are one of the most common types of optimisation problem arising in applications (e.g. parameter fitting). Standard optimisation algorithms for solving these problems are well-understood, but require the user to be able to provide derivatives of the objective. In settings where the objective is black-box, expensive to evaluate or noisy, such as climate modelling, this may be impractical or impossible, and we must consider derivative-free optimisation methods.

The aim of this project is to examine methods for extending derivative-free algorithms for least-squares problems to include (possibly nonsmooth) regularisation terms with known structure. This is a very common feature of parameter fitting problems, and is often used to avoid overfitting or to encode prior information about the solution (e.g. sparsity). Using regularisation is well-studied in standard settings, but has received relatively little attention in derivative-free optimisation.

This project would suit students interested in numerical analysis, optimisation, or scientific computing. Experience in programming, particularly numerical/scientific computing in Python, would be useful.


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  3. W. L. Hare, Y. Lucet, Derivative-Free Optimization Via Proximal Point Methods, Journal of Optimization Theory and Applications, 160 (2014), pp. 204–220.
  4. R. Garmanjani, D. Júdice, and L. N. Vicente, Trust-region methods without using derivatives: Worst case complexity and the nonsmooth case, SIAM Journal on Optimization, 26 (2016), pp. 1987–2011.