Gradient estimation schemes for noisy functions
DOI10.1007/S10957-005-5496-2zbMATH Open1330.62313OpenAlexW2047497541MaRDI QIDQ2583201FDOQ2583201
Authors: Ruud Brekelmans, L. T. Driessen, H. J. M. Hamers, D. Den Hertog 
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
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Numerical optimization and variational techniques (65K10) Optimal statistical designs (62K05) Estimation and detection in stochastic control theory (93E10)
Cites Work
- Stochastic Estimation of the Maximum of a Regression Function
- Multidimensional Stochastic Approximation Methods
- Convergence Rates of Finite-Difference Sensitivity Estimates for Stochastic Systems
- Minimizing the bias and variance of the gradient estimate in RSM simulation studies
- 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
Cited In (8)
- Gradient procedures for stochastic approximation with dependent noise and their asymptotic behaviour
- A mixed finite differences scheme for gradient approximation
- Adaptive Finite-Difference Interval Estimation for Noisy Derivative-Free Optimization
- Gradient estimation for smooth stopping criteria
- Accelerated gradient methods with absolute and relative noise in the gradient
- A kriging based method for the solution of mixed-integer nonlinear programs containing black-box functions
- Numerical optimization‐based extremum seeking control of a class of constrained nonlinear systems via finite‐time state transition
- Gradient estimation using Lagrange interpolation polynomials
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