Nataša Krklec Jerinkić – Page 3

Nonmonotone line search methods with variable sample size

Published: 2013/05/31, Updated: 2015/03/03

Global Optimization nonmonotone line search, sample average approximation, stochastic optimization, variable sample size

Nonmonotone line search methods for unconstrained minimization with the objective functions in the form of mathematical expectation are considered. The objective function is approximated by the sample average approximation (SAA) with a large sample of fixed size. The nonmonotone line search framework is embedded with a variable sample size strategy such that different sample size … Read more

Line search methods with variable sample size for unconstrained optimization

Published: 2011/07/07, Updated: 2013/05/31

Nataša Krejić

Nataša Krklec Jerinkić

Global Optimization line-search, sample average approximation, simulation, stochastic optimization, variable sample size

Minimization of unconstrained objective function in the form of mathematical expectation is considered. Sample Average Approximation – SAA method transforms the expectation objective function into a real-valued deterministic function using large sample and thus deals with deterministic function minimization. The main drawback of this approach is its cost. A large sample of the random variable … Read more