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

performancequadratic programmingalgorithmglobal convergencequasi-Newton methodlarge-scale optimizationsimplex methodtest problemsparallel optimizationquadratic modelsoptimization of noisy functions

Mathematics Subject Classification ID

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

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Cited in

(19)

• An improved hybrid-ORBIT algorithm based on point sorting and MLE technique
• Solving nonlinear programming problems with noisy function values and noisy gradients
• Robust optimization of noisy blackbox problems using the mesh adaptive direct search algorithm
• Robust optimization - a comprehensive survey
• Calibration by optimization without using derivatives
• A direct search algorithm for optimization with noisy function evaluations
• A method of trust region type for minimizing noisy functions
• Direct search based on probabilistic feasible descent for bound and linearly constrained problems
• An improved randomized algorithm with noise level tuning for large-scale noisy unconstrained DFO problems
• Effective matrix adaptation strategy for noisy derivative-free optimization
• Pattern search ranking and selection algorithms for mixed variable simulation-based optimization
• An affine-scaling derivative-free trust-region method for solving nonlinear systems subject to linear inequality constraints
• An inexact derivative-free Levenberg-Marquardt method for linear inequality constrained nonlinear systems under local error bound conditions
• Performance evaluation of ORBIT algorithm to some effective parameters
• Derivative-free methods for bound constrained mixed-integer optimization
• A novel hybrid trust region algorithm based on nonmonotone and LOOCV techniques
• Efficient unconstrained black box optimization
• Derivative-free optimization methods
• Convergence of the Implicit Filtering Method for Constrained Optimization of Noisy Functions

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Uses Software

• minpack

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