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A method for stochastic constrained optimization using derivative-free surrogate pattern search and collocation.
Sethuraman Sankaran
Charles Audet
Alison L. Marsden
Published in:
J. Comput. Phys. (2010)
Keyphrases
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constrained optimization
pattern search
unconstrained optimization
objective function
derivative free
cost function
sensitivity analysis
penalty function
stationary points
computational complexity
convergence rate
iterative methods