A method of trust region type for minimizing noisy functions

DOI10.1007/BF02684470zbMath0879.90166MaRDI QIDQ2365378

Arnold Neumaier, Clemens Elster

Publication date: 23 January 1997

Published in: Computing (Search for Journal in Brave)

zbMATH Keywords

unconstrained optimizationmethod of Nelder-Meadoptimization of noisy functionstrust region approach

Mathematics Subject Classification ID

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

Related Items (10)

STUDYING THE BASIN OF CONVERGENCE OF METHODS FOR COMPUTING PERIODIC ORBITS ⋮ Efficient unconstrained black box optimization ⋮ Optimal Learning for Nonlinear Parametric Belief Models Over Multidimensional Continuous Spaces ⋮ The convergence of subspace trust region methods ⋮ A note on solving nonlinear optimization problems in variable precision ⋮ Optimal Learning with Local Nonlinear Parametric Models over Continuous Designs ⋮ Solving nonlinear programming problems with noisy function values and noisy gradients ⋮ Minimization algorithms based on supervisor and searcher cooperation ⋮ Convergence of the Implicit Filtering Method for Constrained Optimization of Noisy Functions ⋮ One-dimensional global optimization for observations with noise

Uses Software

• NAG
• minpack
• nag
• GQTPAR
• BRENT

Cites Work

• Computing a Trust Region Step
• Testing Unconstrained Optimization Software
• On the Convergence of the Multidirectional Search Algorithm
• Optimization of functions whose values are subject to small errors
• A grid algorithm for bound constrained optimization of noisy functions
• Function Minimization by Interpolation in a Data Table
• A Simplex Method for Function Minimization
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