A Direct Search Algorithm for Optimization with Noisy Function Evaluations

DOI10.1137/S1052623496312848zbMath1035.90106MaRDI QIDQ2706357

Michael C. Ferris, Edward J. Anderson

Publication date: 19 March 2001

Published in: SIAM Journal on Optimization (Search for Journal in Brave)

zbMATH Keywords

optimizationdirect searchnoisy functions

Mathematics Subject Classification ID

Derivative-free methods and methods using generalized derivatives (90C56) Optimality conditions for problems involving randomness (49K45)

Related Items (14)

Optimization with hidden constraints and embedded Monte Carlo computations ⋮ Calibration by optimization without using derivatives ⋮ Optimal Learning for Nonlinear Parametric Belief Models Over Multidimensional Continuous Spaces ⋮ Stochastic Nelder-Mead simplex method -- a new globally convergent direct search method for simulation optimization ⋮ Constrained stochastic blackbox optimization using a progressive barrier and probabilistic estimates ⋮ Numerical simulation of polynomial-speed convergence phenomenon ⋮ Stochastic mesh adaptive direct search for blackbox optimization using probabilistic estimates ⋮ Simulation optimization: a review of algorithms and applications ⋮ Calibration of financial models using quasi-Monte Carlo ⋮ Robust optimization - a comprehensive survey ⋮ Pattern search ranking and selection algorithms for mixed variable simulation-based optimization ⋮ Convergence of the Implicit Filtering Method for Constrained Optimization of Noisy Functions ⋮ Non-intrusive termination of noisy optimization ⋮ Optimization of Stochastic Blackboxes with Adaptive Precision

Uses Software

• SIGMA_
• minpack

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