Gradient estimation schemes for noisy functions

DOI10.1007/S10957-005-5496-2MaRDI QIDQ2583201zbMATHOpenAlexFDO

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

zbMATH Keywords

design of experimentsfinite differencesnoisy functionsgradient estimatation

Mathematics Subject Classification ID

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

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Cites work

• Convergence Rates of Finite-Difference Sensitivity Estimates for Stochastic Systems
• Minimizing the bias and variance of the gradient estimate in RSM simulation studies
• Multidimensional Stochastic Approximation Methods
• 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

Cited in

(8)

• 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
• A mixed finite differences scheme for gradient approximation
• Numerical optimization‐based extremum seeking control of a class of constrained nonlinear systems via finite‐time state transition
• Gradient procedures for stochastic approximation with dependent noise and their asymptotic behaviour
• Gradient estimation using Lagrange interpolation polynomials

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