I need to solve a series of single parameter black-box minimization problem. The underlying cost functions are quite simple. They always have the same shape: a global minimum inside a fixed interval (-15000; 15000).
The constraints are :
- The function is not differentiable;
- The function is slow to evaluate.
I can solve these problems using a coarse scan followed by a fine scan. But I need between 30 and 50 evaluations. I'm sure that there is a better way to do it, but I can't find how.
Two examples of these cost functions :