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 fu...

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Veröffentlicht in:	Mathematical programming 2023-03, Vol.198 (1), p.675-732
Hauptverfasser:	Dzahini, Kwassi Joseph, Kokkolaras, Michael, Le Digabel, Sébastien
Format:	Artikel
Sprache:	eng
Schlagworte:	Adaptive search techniques Algorithms Calculus of Variations and Optimal Control Optimization Combinatorics Constraints Estimates Full Length Paper Martingales Mathematical and Computational Physics Mathematical Methods in Physics Mathematics Mathematics and Statistics Mathematics of Computing Numerical Analysis Optimization Probability theory Random noise Statistical analysis Theoretical
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