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Iteratively sampling scheme for stochastic optimization with variable number sample path

Published: 01 May 2022 Publication History

Abstract

Optimal search methods are proposed for solving optimization problems with analytically unobtainable objectives. This paper proposes a method by incorporating sampling schemes into the directional direct search with variable number sample path and investigates its effectiveness in solving stochastic optimization problems. We also explore the conditions on sample sizes at each iteration under which the convergence in probability can be guaranteed. Finally, a set of benchmark problems are numerically tested to show the effectiveness in different sampling schemes.

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        Published In

        cover image Operations Research Letters
        Operations Research Letters  Volume 50, Issue 3
        May 2022
        143 pages

        Publisher

        Elsevier Science Publishers B. V.

        Netherlands

        Publication History

        Published: 01 May 2022

        Author Tags

        1. Sampling scheme
        2. Variable number sample path
        3. Directional direct search
        4. Convergence

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