Constrained Optimization in the Presence of Noise

DOI10.1137/21m1450999zbMath1522.90269arXiv2110.04355OpenAlexW3207390541MaRDI QIDQ6176426

Nocedal, Jorge, Figen Oztoprak, Byrd, Richard H.

Publication date: 23 August 2023

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

Full work available at URL: https://arxiv.org/abs/2110.04355

zbMATH Keywords

constrained optimizationnonlinear optimizationnoisy optimization

Mathematics Subject Classification ID

Nonlinear programming (90C30) Derivative-free methods and methods using generalized derivatives (90C56) Methods of quasi-Newton type (90C53)

Related Items

Inequality constrained stochastic nonlinear optimization via active-set sequential quadratic programming, A trust region method for noisy unconstrained optimization

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Solving nonlinear programming problems with noisy function values and noisy gradients
• CUTEst: a constrained and unconstrained testing environment with safe threads for mathematical optimization
• Random gradient-free minimization of convex functions
• Multifidelity approaches for optimization under uncertainty
• Estimating Derivatives of Noisy Simulations
• On the Perturbation of Pseudo-Inverses, Projections and Linear Least Squares Problems
• Nonlinear programming methods in the presence of noise
• Numerical Optimization
• Survey of Multifidelity Methods in Uncertainty Propagation, Inference, and Optimization
• Derivative-Free Optimization of Noisy Functions via Quasi-Newton Methods
• Sequential Quadratic Optimization for Nonlinear Equality Constrained Stochastic Optimization
• Adaptive Finite-Difference Interval Estimation for Noisy Derivative-Free Optimization
• On the numerical performance of finite-difference-based methods for derivative-free optimization