Optimization of functions whose values are subject to small errors

DOI10.1007/BF01932287zbMath0365.65044OpenAlexW2076803829MaRDI QIDQ4140303

Allen A. Goldstein, Torkel Glad

Publication date: 1977

Published in: BIT (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf01932287

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Nonlinear programming (90C30)

Related Items (5)

A method of trust region type for minimizing noisy functions ⋮ An inexact derivative-free Levenberg-Marquardt method for linear inequality constrained nonlinear systems under local error bound conditions ⋮ Solving nonlinear programming problems with noisy function values and noisy gradients ⋮ Convergence of the Implicit Filtering Method for Constrained Optimization of Noisy Functions ⋮ An affine-scaling derivative-free trust-region method for solving nonlinear systems subject to linear inequality constraints

Uses Software

• BRENT

Cites Work

• Extensions of Kesten's adaptive stochastic approximation method
• An effective algorithm for minimization
• Error analysis for the Newton-Raphson method
• A superlinearly convergent algorithm for minimization without evaluating derivatives
• Stochastic approximation algorithms for the local optimization of functions with nonunique stationary points
• Function Minimization by Interpolation in a Data Table
• Stochastic Estimation of the Maximum of a Regression Function
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