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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Bibliographic Details

Published in:	International journal for numerical methods in engineering Vol. 109; no. 13; pp. 1756 - 1776
Main Authors:	Fonseca, Rahul Rahul‐Mark, Chen, Bailian, Jansen, Jan Dirk, Reynolds, Albert
Format:	Journal Article
Language:	English
Published:	Bognor Regis Wiley Subscription Services, Inc 30.03.2017
Subjects:	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
Online Access:	Get full text
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