Stochastic mesh adaptive direct search for blackbox optimization using probabilistic estimates

DOI10.1007/s10589-020-00249-0zbMath1469.90095arXiv1911.01012OpenAlexW3134041587MaRDI QIDQ2028452

Michael Kokkolaras, Charles Audet, Kwassi Joseph Dzahini, Sébastien Le Digabel

Publication date: 1 June 2021

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1911.01012

zbMATH Keywords

stochastic optimizationderivative-free optimizationmesh adaptive direct searchblackbox optimizationprobabilistic estimates

Mathematics Subject Classification ID

Stochastic programming (90C15)

Related Items

Iteratively sampling scheme for stochastic optimization with variable number sample path, TREGO: a trust-region framework for efficient global optimization, Two decades of blackbox optimization applications, Constrained stochastic blackbox optimization using a progressive barrier and probabilistic estimates, Adaptive sampling quasi-Newton methods for zeroth-order stochastic optimization, A zeroth order method for stochastic weakly convex optimization, Expected complexity analysis of stochastic direct-search, Optimization of Stochastic Blackboxes with Adaptive Precision

Uses Software

• NOMAD
• OrthoMADS
• CUTEst
• ASTRO-DF

Cites Work

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