A Stochastic Simplex Approximate Gradient (StoSAG) for optimization under uncertainty

Summary We consider a technique to estimate an approximate gradient using an ensemble of randomly chosen control vectors, known as Ensemble Optimization (EnOpt) in the oil and gas reservoir simulation community. In particular, we address how to obtain accurate approximate gradients when the underlyi...

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Vydané v:	International journal for numerical methods in engineering Ročník 109; číslo 13; s. 1756 - 1776
Hlavní autori:	Fonseca, Rahul Rahul‐Mark, Chen, Bailian, Jansen, Jan Dirk, Reynolds, Albert
Médium:	Journal Article
Jazyk:	English
Vydavateľské údaje:	Bognor Regis Wiley Subscription Services, Inc 30.03.2017
Predmet:	Algorithms Approximate gradient Ensemble optimization Geology Mathematical analysis Mathematical models Optimization Robust optimization Robustness (mathematics) Stochastic gradient Stochasticity StoSAG Uncertainty
ISSN:	0029-5981, 1097-0207
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