Constrained stochastic blackbox optimization using a progressive barrier and probabilistic estimates

Unconstrained and Constrained Blackbox Optimization: the Search Perspective

The SEARCH (Search Envisioned As Relation & Class Hierarchizing) framework developed elsewhere (Kargupta, 1995a; Kargupta & Goldberg, 1995) ooered an alternate perspective toward blackbox optimization (BBO)|optimization in presence of little domain knowledge. The SEARCH framework investigates the conditions essential for transcending the limits of random enumerative search using a framework dev...

Modeling an Augmented Lagrangian for Blackbox Constrained Optimization

Modeling an Augmented Lagrangian for Improved Blackbox Constrained Optimization

Constrained blackbox optimization is a difficult problem, with most approaches coming from the mathematical programming literature. The statistical literature is sparse, especially in addressing problems with nontrivial constraints. This situation is unfortunate because statistical methods have many attractive properties: global scope, handling noisy objectives, sensitivity analysis, and so for...

Snow water equivalent estimation using blackbox optimization

Accurate measurements of snow water equivalent (SWE) is an important factor in managing water resources for hydroelectric power generation. SWE over a catchment area may be estimated via kriging on measures obtained by snow monitoring devices positioned at strategic locations. The question studied in this paper is to find the device locations that minimize the kriging interpolation error of the...

A progressive barrier derivative-free trust-region algorithm for constrained optimization

We study derivative-free constrained optimization problems and propose a trust-region method that builds linear or quadratic models around the best feasible and and around the best infeasible solutions found so far. These models are optimized within a trust region, and the progressive barrier methodology handles the constraints by progressively pushing the infeasible solutions toward the feasib...