Gradient estimation schemes for noisy functions

DOI10.1007/s10957-005-5496-2zbMath1330.62313OpenAlexW2047497541MaRDI QIDQ2583201

L. T. Driessen, Dick den Hertog, Ruud C. M. Brekelmans, H. J. M. Hamers

Publication date: 13 January 2006

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://research.tilburguniversity.edu/en/publications/4aa4fd63-80d9-4989-89a8-0c1683fc5c4f

zbMATH Keywords

design of experimentsfinite differencesnoisy functionsgradient estimatation

Mathematics Subject Classification ID

Optimal statistical designs (62K05) Numerical optimization and variational techniques (65K10) Estimation and detection in stochastic control theory (93E10)

Related Items (3)

Adaptive Finite-Difference Interval Estimation for Noisy Derivative-Free Optimization ⋮ Numerical optimization‐based extremum seeking control of a class of constrained nonlinear systems via finite‐time state transition ⋮ A kriging based method for the solution of mixed-integer nonlinear programs containing black-box functions

Cites Work

• Convergence Rates of Finite-Difference Sensitivity Estimates for Stochastic Systems
• Simulation Designs and Correlation Induction for Reducing Second-Order Bias in First-Order Response Surfaces
• Simulation Designs for the Estimation of Quadratic Response Surface Gradients in the Presence of Model Misspecification
• Stochastic Estimation of the Maximum of a Regression Function
• Multidimensional Stochastic Approximation Methods
• Minimizing the bias and variance of the gradient estimate in RSM simulation studies

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