A direct search algorithm for optimization with noisy function evaluations

DOI10.1137/S1052623496312848zbMATH Open1035.90106MaRDI QIDQ2706357FDOQ2706357

Authors Michael C. Ferris, Edward J. Anderson 

Publication date 19 March 2001

Published in SIAM Journal on Optimization (Search for Journal in Brave)

zbMATH Keywords

optimizationdirect searchnoisy functions

Mathematics Subject Classification ID

Optimality conditions for problems involving randomness (49K45) Derivative-free methods and methods using generalized derivatives (90C56)

Recommendations

• A grid algorithm for bound constrained optimization of noisy functions
• Constrained Optimization in the Presence of Noise
• Approximate implementations of pure random search in the presence of noise
• scientific article; zbMATH DE number 37742
• Optimising noisy objective functions

Cited in

(34)

• Conditional optimization of a noisy function using a kriging metamodel
• scientific article; zbMATH DE number 37742 (Why is no real title available?)
• Optimization of stochastic blackboxes with adaptive precision
• Convergence of the Implicit Filtering Method for Constrained Optimization of Noisy Functions
• A grid algorithm for bound constrained optimization of noisy functions
• Oblivious Randomized Direct Search for Real-Parameter Optimization
• Handling expensive optimization with large noise
• Optimization with hidden constraints and embedded Monte Carlo computations
• Constrained stochastic blackbox optimization using a progressive barrier and probabilistic estimates
• Lower bounds for randomized direct search with isotropic sampling
• Robust optimization of noisy blackbox problems using the mesh adaptive direct search algorithm
• A derivative-free trust-region algorithm for the optimization of functions smoothed via Gaussian convolution using adaptive multiple importance sampling
• Almost surely convergent global optimziation algorithm using noise-corrupted observations
• scientific article; zbMATH DE number 1795729 (Why is no real title available?)
• Stochastic mesh adaptive direct search for blackbox optimization using probabilistic estimates
• Robust optimization - a comprehensive survey
• Stochastic Nelder-Mead simplex method -- a new globally convergent direct search method for simulation optimization
• Approximate implementations of pure random search in the presence of noise
• Optimising noisy objective functions
• Exploring or reducing noise? A global optimization algorithm in the presence of noise
• Numerical simulation of polynomial-speed convergence phenomenon
• A generating set search method using curvature information
• Gradient estimation schemes for noisy functions
• Algorithms for noisy problems in gas transmission pipeline optimization
• Simple and cumulative regret for continuous noisy optimization
• Calibration by optimization without using derivatives
• The impact of noise on evaluation complexity: the deterministic trust-region case
• Stochastic zeroth order descent with structured directions
• Pattern search ranking and selection algorithms for mixed variable simulation-based optimization
• Optimal learning for nonlinear parametric belief models over multidimensional continuous spaces
• Default policies for global optimisation of noisy functions with severe noise
• Constrained Optimization in the Presence of Noise
• Non-intrusive termination of noisy optimization
• Calibration of financial models using quasi-Monte Carlo

Describes a project that uses

Uses Software

• SIGMA_
• minpack

This page was built for publication: A direct search algorithm for optimization with noisy function evaluations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2706357)