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A derivative-free trust-region algorithm with copula-based models for probability maximization problems
- Source :
- European Journal of Operational Research, European Journal of Operational Research, Elsevier, In press, ⟨10.1016/j.ejor.2021.09.040⟩
- Publication Year :
- 2022
- Publisher :
- Elsevier BV, 2022.
-
Abstract
- This work presents a derivative-free trust-region algorithm for probability maximization problems. We assume that the probability function is continuously differentiable with Lipschitz continuous gradient, but no derivatives are available. The algorithm explores the particular structure of the probability objective function through models based on copulae. Under reasonable assumptions, the global convergence of the algorithm is analyzed: we prove that all accumulation points of the sequence generated by the algorithm are stationary. The proposed approach is validated by encouraging numerical results on academic and industrial problems.
- Subjects :
- Work (thermodynamics)
Mathematical optimization
Sequence
Trust region
021103 operations research
Information Systems and Management
General Computer Science
Computer science
Copula (linguistics)
0211 other engineering and technologies
Structure (category theory)
Probability density function
010103 numerical & computational mathematics
02 engineering and technology
Management Science and Operations Research
Lipschitz continuity
01 natural sciences
Industrial and Manufacturing Engineering
Modeling and Simulation
Convergence (routing)
[MATH]Mathematics [math]
0101 mathematics
ComputingMilieux_MISCELLANEOUS
Subjects
Details
- ISSN :
- 03772217
- Volume :
- 298
- Database :
- OpenAIRE
- Journal :
- European Journal of Operational Research
- Accession number :
- edsair.doi.dedup.....7df1101a9b9792705cfb73cc08d2e263