Neural-trust-region algorithm for unconstrained optimization (Part 1)

Abstract: In this paper (part 1), we describe a derivative-free trust-region method for solving unconstrained optimization problems. We will discuss a method when we relax the model order assumption and use artificial neural network techniques to build a computationally relatively inexpensive model. We directly find an estimate of the objective function minimizer without explicitly constructing a model function. Therefore, we need to have the neural-network model derivatives, which can be obtained simply through a back-propagation process.