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Operations Research Seminar

Title: Opening the blackbox in simulation-based optimization
Speaker(s): Stefan Wild
Affiliation: Argonne National Laboratories
When: Tuesday,  October 25, 2011
Time: 11:00 AM  -  12:00 PM
Where: CU building, Room 656

The advent of computational science has unveiled large classes of nonlinear optimization problems where derivatives of the objective and/or constraints are unavailable. Often, these problems are posed as blackbox optimization problems, but rarely is this by necessity. In this talk, we report on our experience extracting additional structure on problems consisting of both blackbox and algebraic or otherwise known components. These problems include nonlinear least squares/calibration problems and knowing derivatives of some nonlinear constraints or with respect to a subset of the variables. In each case, we use quadratic surrogates to model both the blackbox and algebraic components to obtain new greybox optimization methods.

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