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Optimization and Engineering
Erschienen in: Optimization and Engineering 1/2016

22.12.2015

Optimization with hidden constraints and embedded Monte Carlo computations

verfasst von: Xiaojun Chen, C. T. Kelley

Erschienen in: Optimization and Engineering | Ausgabe 1/2016

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Abstract

In this paper we explore the convergence properties of deterministic direct search methods when the objective function contains a stochastic or Monte Carlo simulation. We present new results for the case where the objective is only defined on a set with certain minimal regularity properties. We present two numerical examples to illustrate the ideas.
Vorheriger Artikel Derivative-free global ship design optimization using global/local hybridization of the DIRECT algorithm
Nächster Artikel MISO: mixed-integer surrogate optimization framework

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Metadaten
Titel
Optimization with hidden constraints and embedded Monte Carlo computations
verfasst von
Xiaojun Chen
C. T. Kelley
Publikationsdatum
22.12.2015
Verlag
Springer US
Erschienen in
Optimization and Engineering / Ausgabe 1/2016
Print ISSN: 1389-4420
Elektronische ISSN: 1573-2924
DOI
https://doi.org/10.1007/s11081-015-9302-1

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