A method of trust region type for minimizing noisy functions

DOI10.1007/BF02684470MaRDI QIDQ2365378zbMATH OpenFDO

Authors Clemens Elster, Arnold Neumaier

Publication date 23 January 1997

Published in Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02684470

zbMATH Keywords

method of Nelder-Meadoptimization of noisy functionstrust region approachunconstrained optimization

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Nonlinear programming (90C30)

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Cites work

• A grid algorithm for bound constrained optimization of noisy functions
• A Simplex Method for Function Minimization
• Computing a Trust Region Step
• Function Minimization by Interpolation in a Data Table
• scientific article; zbMATH DE number 3871040 (Why is no real title available?)
• scientific article; zbMATH DE number 4088849 (Why is no real title available?)
• scientific article; zbMATH DE number 88930 (Why is no real title available?)
• scientific article; zbMATH DE number 1243473 (Why is no real title available?)
• scientific article; zbMATH DE number 3793774 (Why is no real title available?)
• scientific article; zbMATH DE number 3388498 (Why is no real title available?)
• On the Convergence of the Multidirectional Search Algorithm
• Optimization of functions whose values are subject to small errors
• Testing Unconstrained Optimization Software

Cited in

(14)

• Continuation methods with the trusty time-stepping scheme for linearly constrained optimization with noisy data
• Efficient unconstrained black box optimization
• A note on solving nonlinear optimization problems in variable precision
• The convergence of subspace trust region methods
• The impact of noise on evaluation complexity: the deterministic trust-region case
• Studying the basin of convergence of methods for computing periodic orbits
• Optimal learning with local nonlinear parametric models over continuous designs
• Convergence of the Implicit Filtering Method for Constrained Optimization of Noisy Functions
• Optimal learning for nonlinear parametric belief models over multidimensional continuous spaces
• A grid algorithm for bound constrained optimization of noisy functions
• Minimization algorithms based on supervisor and searcher cooperation
• A trust region method for noisy unconstrained optimization
• Solving nonlinear programming problems with noisy function values and noisy gradients
• One-dimensional global optimization for observations with noise

Describes a project that uses

Uses Software

• NAG
• minpack
• nag
• GQTPAR
• BRENT

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