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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
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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