Optimising noisy objective functions

DOI10.1007/S10898-004-9969-XMaRDI QIDQ813361zbMATH OpenOpenAlexFDO

Authors David Bulger, H. Edwin Romeijn

Publication date 8 February 2006

Published in Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10898-004-9969-x

zbMATH Keywords

Global optimisationNoisy objective functionPure random search

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Stochastic programming (90C15)

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(9)

• Objective function features providing barriers to rapid global optimization
• Handling expensive optimization with large noise
• Almost surely convergent global optimziation algorithm using noise-corrupted observations
• Approximate implementations of pure random search in the presence of noise
• Algorithms for noisy problems in gas transmission pipeline optimization
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• Default policies for global optimisation of noisy functions with severe noise
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• Derivative-Free Optimization of Noisy Functions via Quasi-Newton Methods

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