A grid algorithm for bound constrained optimization of noisy functions

DOI10.1093/IMANUM/15.4.585MaRDI QIDQ4852685zbMATH OpenOpenAlexFDO

Authors Clemens Elster, Arnold Neumaier

Publication date 18 February 1996

Published in IMA Journal of Numerical Analysis (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/a63e5bbfd13649e9e83ff6f7097736da63d98827

zbMATH Keywords

algorithmglobal convergencelarge-scale optimizationoptimization of noisy functionsparallel optimizationperformancequadratic modelsquadratic programmingquasi-Newton methodsimplex methodtest problems

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Large-scale problems in mathematical programming (90C06) Quadratic programming (90C20)

Recommendations

• A direct search algorithm for optimization with noisy function evaluations
• Derivative-Free Optimization of Noisy Functions via Quasi-Newton Methods
• scientific article; zbMATH DE number 1301900
• Constrained Optimization in the Presence of Noise
• A method of trust region type for minimizing noisy functions

Cited in

(21)

• Robust optimization - a comprehensive survey
• Pattern search ranking and selection algorithms for mixed variable simulation-based optimization
• Robust optimization of noisy blackbox problems using the mesh adaptive direct search algorithm
• Derivative-free methods for bound constrained mixed-integer optimization
• Efficient unconstrained black box optimization
• An improved hybrid-ORBIT algorithm based on point sorting and MLE technique
• Calibration by optimization without using derivatives
• A method of trust region type for minimizing noisy functions
• A novel hybrid trust region algorithm based on nonmonotone and LOOCV techniques
• Direct search based on probabilistic feasible descent for bound and linearly constrained problems
• A direct search algorithm for optimization with noisy function evaluations
• Convergence of the Implicit Filtering Method for Constrained Optimization of Noisy Functions
• scientific article; zbMATH DE number 1301900 (Why is no real title available?)
• scientific article; zbMATH DE number 1060031 (Why is no real title available?)
• Performance evaluation of ORBIT algorithm to some effective parameters
• Derivative-free optimization methods
• An affine-scaling derivative-free trust-region method for solving nonlinear systems subject to linear inequality constraints
• Effective matrix adaptation strategy for noisy derivative-free optimization
• An inexact derivative-free Levenberg-Marquardt method for linear inequality constrained nonlinear systems under local error bound conditions
• An improved randomized algorithm with noise level tuning for large-scale noisy unconstrained DFO problems
• Solving nonlinear programming problems with noisy function values and noisy gradients

Describes a project that uses

Uses Software

• minpack

This page was built for publication: A grid algorithm for bound constrained optimization of noisy functions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4852685)