randomized optimization – Optimization Online

A Direction Adaptation Evaluation Strategy for Noisy Derivative-Free Optimization

Published: 2026/07/08

Global Optimization, Nonlinear Optimization Complexity Results, Direction Adaptation, evolution strategy, heuristic optimization, Noisy derivative-free optimization, randomized optimization

In this paper, we develop a direction adaptation evolution strategy (DAES)—a new MAES-type method—for noisy derivative-free optimization, designed to reconcile the population-based search mechanisms of evolution strategies with rigorous complexity analysis. Unlike standard MAES schemes, DAES fixes the adaptation matrix to the identity and replaces matrix adaptation with a structured direction-generation mechanism based on symmetric … Read more

From Infinite to Finite Programs: Explicit Error Bounds with Applications to Approximate Dynamic Programming

Published: 2017/02/20

Dynamic Programming, Infinite Dimensional Optimization, Stochastic Programming approximate dynamic programming, convex optimization, infinite-dimensional linear programming, markov decision processes, randomized optimization

We consider linear programming (LP) problems in infinite dimensional spaces that are in general computationally intractable. Under suitable assumptions, we develop an approximation bridge from the infinite-dimensional LP to tractable finite convex programs in which the performance of the approximation is quantified explicitly. To this end, we adopt the recent developments in two areas of … Read more