Iteratively sampling scheme for stochastic optimization with variable number sample path

DOI10.1016/J.ORL.2022.03.006MaRDI QIDQ2157906zbMATH OpenOpenAlexFDO

Authors Shuang Hao, Dali Zhang, Ming Dong

Publication date 22 July 2022

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2022.03.006

zbMATH Keywords

convergencesampling schemedirectional direct searchvariable number sample path

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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Cites work

• scientific article; zbMATH DE number 2002582 (Why is no real title available?)
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• CUTEst: a constrained and unconstrained testing environment with safe threads for mathematical optimization
• Derivative-free optimization methods
• Direct search methods: Then and now
• Lectures on stochastic programming. Modeling and theory.
• On Choosing Parameters in Retrospective-Approximation Algorithms for Stochastic Root Finding and Simulation Optimization
• On sample size control in sample average approximations for solving smooth stochastic programs
• Optimization with hidden constraints and embedded Monte Carlo computations
• Retrospective-approximation algorithms for the multidimensional stochastic root-finding problem
• Stochastic mesh adaptive direct search for blackbox optimization using probabilistic estimates
• Stochastic optimization using a trust-region method and random models
• Variable-number sample-path optimization
• Variable-sample methods for stochastic optimization

Cited in

(1)

• Alternative sampling strategy for a random optimization algorithm

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