Generalized information reuse for optimization under uncertainty with non-sample average estimators

DOI10.1002/NME.5904MaRDI QIDQ6555282zbMATH OpenFDO

Authors Laurence W. Cook, Jerome P. Jarrett, Karen Willcox

Publication date 14 June 2024

Published in International Journal for Numerical Methods in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1002/NME.5904

zbMATH Keywords

multifidelityoptimizationoptimization under uncertaintyprobabilistic methodsstochastic problems

Mathematics Subject Classification ID

Applications of statistics in engineering and industry; control charts (62P30) Derivative-free methods and methods using generalized derivatives (90C56)

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Cites work

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• scientific article; zbMATH DE number 1339097 (Why is no real title available?)
• scientific article; zbMATH DE number 653035 (Why is no real title available?)
• Lectures on Stochastic Programming
• Monte Carlo and quasi-Monte Carlo sampling
• Multifidelity approaches for optimization under uncertainty
• On control variate estimators
• Optimal model management for multifidelity Monte Carlo estimation
• Optimization under uncertainty using the generalized inverse distribution function
• Recent advances in robust optimization: an overview
• Reduced basis approximation and a posteriori error estimation for affinely parametrized elliptic coercive partial differential equations. Application to transport and continuum mechanics.
• Robust optimization - a comprehensive survey
• Robust Optimization of Large-Scale Systems
• Sequential approximate optimization for design under uncertainty problems utilizing Kriging metamodeling in augmented input space
• Sharp distribution-free bounds on the bias in estimating quantiles via order statistics
• Some remarks on the value-at-risk and the conditional value-at-risk

Cited in

(1)

• Modern Monte Carlo methods for efficient uncertainty quantification and propagation: a survey

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