Optimization with hidden constraints and embedded Monte Carlo computations

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• 作者：Xiaojun Chen ; C. T. Kelley
• 关键词：Sampling methods ; Monte Carlo simulation ; Water resource policy ; Hidden constraints ; 65K05 ; 65K10 ; 90C30
• 刊名：Optimization and Engineering
• 出版年：2016
• 出版时间：March 2016
• 年：2016
• 卷：17
• 期：1
• 页码：157-175
• 全文大小：816 KB
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• 作者单位：Xiaojun Chen (1)
  C. T. Kelley (2)
  
  1. Department of Applied Mathematics, The Hong Kong Polytechnic University, Hung Hom, Kowloon, Hong Kong, China
  2. Department of Mathematics, North Carolina State University, Box 8205, Raleigh, NC, 27695-8205, USA
  
• 刊物类别：Mathematics and Statistics
• 刊物主题：Mathematics
  Optimization
  Engineering, general
  Systems Theory and Control
  Environmental Management
  Agriculture
  Operation Research and Decision Theory
  
• 出版者：Springer Netherlands
• ISSN：1573-2924

文摘

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. Keywords Sampling methods Monte Carlo simulation Water resource policy Hidden constraints