A Derivative-Free Trust-Region Algorithm for the Optimization of Functions Smoothed via Gaussian Convolution Using Adaptive Multiple Importance Sampling
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Publication:4641668
DOI10.1137/15M1031679zbMath1390.90410OpenAlexW2605076685MaRDI QIDQ4641668
Irina S. Dolinskaya, Jeremy Staum, Alvaro Maggiar, Andreas Wächter
Publication date: 18 May 2018
Published in: SIAM Journal on Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/15m1031679
Monte Carlo samplingderivative-free optimizationtrust-region methodGaussian smoothingadaptive multiple importance samplingdeterministic computational noise
Nonlinear programming (90C30) Derivative-free methods and methods using generalized derivatives (90C56) Stochastic programming (90C15)
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