Optimization with hidden constraints and embedded Monte Carlo computations

被引：0
|
作者：
Xiaojun Chen
C. T. Kelley
机构：
[1] The Hong Kong Polytechnic University,Department of Applied Mathematics
[2] North Carolina State University,Department of Mathematics
来源：
Optimization and Engineering | 2016年 / 17卷
关键词：
Sampling methods; Monte Carlo simulation; Water resource policy; Hidden constraints; 65K05; 65K10; 90C30;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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.
引用
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页码：157 / 175
页数：18
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