noisy black box optimization

Global Multi-Objective Simulation Optimization: Error Bounds and Convergence Rates

  • Burla E. Ondes
  • Susan R. Hunter
    • Categories Global Optimization, Multi-Criteria Optimization, Optimization of Simulated Systems Tags , , , ,

    Consider the context of solving a multi-objective simulation optimization problem with one or more continuous objective functions to global optimality on a compact feasible set. For a simple algorithm that consists of selecting a finite set of feasible points using a space-filling design, expending the same number of simulation replications at each point to estimate … Read more

    An improved randomized algorithm with noise level tuning for large-scale noisy unconstrained DFO problems

  • Morteza Kimiaei
    • Categories Optimization Software Benchmark, Stochastic Programming, Unconstrained Optimization Tags , , , ,

    In this paper, a new randomized solver (called VRDFON) for noisy unconstrained derivative-free optimization (DFO) problems is discussed. Complexity result in the presence of noise for nonconvex functions is studied. Two effective ingredients of VRDFON are an improved derivative-free line search algorithm with many heuristic enhancements and quadratic models in adaptively determined subspaces. Numerical results … Read more