Constrained optimization in expensive simulation: Novel approach.

Jack P. C. Kleijnen Wim C. M. Van Beers Inneke Van Nieuwenhuyse

Published in: Eur. J. Oper. Res. (2010)

Keyphrases

constrained optimization
objective function
constrained optimization problems
constraint handling
augmented lagrangian
unconstrained optimization
penalty function
probabilistic model
computationally expensive
pattern search
penalty functions
iterative methods
inequality constraints
interval analysis