Variable-number sample-path optimization

Mathematical Programming

Volumn 117, Issue 1-2, 2009, Pages 81-109

  Deng, Geng ^a   Ferris, Michael C ^b  

^a UNIVERSITY OF WISCONSIN MADISON   (United States)

^b University of Wisconsin Madison   (United States)

Author keywords

Bayesian analysis; Sample path method; Simulation based optimization; Trust region method

Indexed keywords

BOOLEAN FUNCTIONS; ITERATIVE METHODS; OPTIMIZATION; QUADRATIC PROGRAMMING;

BASIC IDEA; BAYESIAN; GENERAL (CO); GLOBAL CONVERGENCE; NEW ALGORITHM; NUMERICA L RESULTS; PATH OPTIMIZATIONS; QUADRATIC APPROXIMATIONS; RANDOM NUMBERS; SAMPLE PATH METHOD; SIMULATION-BASED OPTIMIZATIONS; SPRINGER (CO); UNCONSTRAINED OPTIMIZATION;

CONVERGENCE OF NUMERICAL METHODS;

EID: 46749143789     PISSN: 00255610     EISSN: 14364646     Source Type: Journal    
DOI: 10.1007/s10107-007-0164-y     Document Type: Article

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