A Smoothing Direct Search Method for Monte Carlo-Based Bound Constrained Composite Nonsmooth Optimization

DOI10.1137/17M1116714zbMath1461.65138OpenAlexW2883251828WikidataQ129529625 ScholiaQ129529625MaRDI QIDQ3174787

Zaikun Zhang, Xiaojun Chen, Feng-Min Xu, Carl. T. Kelley

Publication date: 18 July 2018

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/17m1116714

zbMATH Keywords

nonsmooth optimizationMonte Carlo simulationsampling methodsdirect search algorithmsmoothing functionsClarke stationarity

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Monte Carlo methods (65C05) Nonlinear programming (90C30) Numerical optimization and variational techniques (65K10)

Related Items (7)

A bi‐level programming framework for identifying optimal parameters in portfolio selection ⋮ Two decades of blackbox optimization applications ⋮ Smoothing accelerated proximal gradient method with fast convergence rate for nonsmooth convex optimization beyond differentiability ⋮ Adaptive sampling quasi-Newton methods for zeroth-order stochastic optimization ⋮ Derivative-free optimization methods ⋮ Dynamic improvements of static surrogates in direct search optimization ⋮ Optimization of Stochastic Blackboxes with Adaptive Precision

Uses Software

• OR-Library
• IMFIL
• KELLEY
• BFO

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