Optimization with hidden constraints and embedded Monte Carlo computations

Xiaojun Chen, C. T. Kelley

Research output: Journal article publicationJournal articleAcademic researchpeer-review

7 Citations (Scopus)

Abstract

In this paper we explore the convergence properties of deterministic direct search methods when the objective function contains a stochastic or Monte Carlo simulation. We present new results for the case where the objective is only defined on a set with certain minimal regularity properties. We present two numerical examples to illustrate the ideas.
Original languageEnglish
Pages (from-to)157-175
Number of pages19
JournalOptimization and Engineering
Volume17
Issue number1
DOIs
Publication statusPublished - 1 Mar 2016

Keywords

  • Hidden constraints
  • Monte Carlo simulation
  • Sampling methods
  • Water resource policy

ASJC Scopus subject areas

  • Software
  • Civil and Structural Engineering
  • Aerospace Engineering
  • Mechanical Engineering
  • Control and Optimization
  • Electrical and Electronic Engineering

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