Derivative-free optimization of expensive functions with computational error using weighted regression

DOI10.1137/100814688zbMATH Open1295.90106OpenAlexW2024366558MaRDI QIDQ5300516FDOQ5300516

Authors Stephen C. Billups, Jeffrey Larson, Peter A. Graf 

Publication date 27 June 2013

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

Full work available at URL https://doi.org/10.1137/100814688

zbMATH Keywords

derivative-free optimizationweighted regression modelsnoisy function evaluations

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Nonsmooth analysis (49J52) Derivative-free methods and methods using generalized derivatives (90C56)

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Cited In (20)

• Limiting behavior of derivative approximation techniques as the number of points tends to infinity on a fixed interval in \(\mathbb{R}\)
• Optimization by moving ridge functions: derivative-free optimization for computationally intensive functions
• A derivative-free trust-region algorithm for the optimization of functions smoothed via Gaussian convolution using adaptive multiple importance sampling
• Robust optimization of noisy blackbox problems using the mesh adaptive direct search algorithm
• Full-low evaluation methods for derivative-free optimization
• Stochastic derivative-free optimization using a trust region framework
• An adaptive strategy on the error of the objective functions for uncertainty-based derivative-free optimization
• Integration of expert knowledge into radial basis function surrogate models
• Exploiting active subspaces to quantify uncertainty in the numerical simulation of the hyshot II scramjet
• Improving the flexibility and robustness of model-based derivative-free optimization solvers
• Hermite least squares optimization: a modification of BOBYQA for optimization with limited derivative information
• A derivative-free trust-region algorithm for unconstrained optimization with controlled error
• Stochastic optimization using a trust-region method and random models
• A derivative-free optimization algorithm for the efficient minimization of functions obtained via statistical averaging
• Recent advances in trust region algorithms
• A nonmonotone line search method for noisy minimization
• Levenberg-Marquardt method based on probabilistic Jacobian models for nonlinear equations
• Approximating the diagonal of a Hessian: which sample set of points should be used
• Derivative-free optimization methods
• ASTRO-DF: a class of adaptive sampling trust-region algorithms for derivative-free stochastic optimization

Uses Software

• mctoolbox
• SNOBFIT
• Decision tree for optimization software

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