A natural Hessian approximation for ensemble based optimization

DOI10.1007/s10596-022-10185-zzbMath1514.86004MaRDI QIDQ6106113

Andreas S. Stordal, Yiteng Zhang, Rolf J. Lorentzen

Publication date: 27 June 2023

Published in: Computational Geosciences (Search for Journal in Brave)

zbMATH Keywords

stochastic optimizationMonte Carlonatural gradientevolution strategyensemble based

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Monte Carlo methods (65C05) Stochastic programming (90C15) Computational methods for problems pertaining to geophysics (86-08) Potentials, prospecting (86A20)

Cites Work

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• Adjoint-based optimization of multi-phase flow through porous media -- a review
• Theoretical connections between optimization algorithms based on an approximate gradient
• A theoretical look at ensemble-based optimization in reservoir management
• The Conjugate Gradient Method and Trust Regions in Large Scale Optimization
• Trust Region Methods

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