Constrained stochastic blackbox optimization using a progressive barrier and probabilistic estimates

This work introduces the StoMADS-PB algorithm for constrained stochastic blackbox optimization, which is an extension of the mesh adaptive direct-search (MADS) method originally developed for deterministic blackbox optimization under general constraints. The values of the objective and constraint functions are provided by a noisy blackbox, i.e., they can only be computed with random noise whose … Read more