{[ promptMessage ]}

Bookmark it

{[ promptMessage ]}

Finance Notes_Part_3 - What can we solve With the current...

Info icon This preview shows pages 1–3. Sign up to view the full content.

View Full Document Right Arrow Icon
What can we solve With the current state-of-the-art DFO methods one can expect to successfully address problems where: The evaluation of the function is expensive and/or computed with noise (and for which accurate finite-difference derivative estimation is prohibitive and automatic differentiation is ruled out). The number of variables does not exceed, say, a hundred (in serial computation). The functions are not excessively non-smooth. Rapid asymptotic convergence is not of primary importance. Only a few digits of accuracy are required. Audet and Vicente (SIOPT 2008) Introduction 13/109
Image of page 1

Info icon This preview has intentionally blurred sections. Sign up to view the full version.

View Full Document Right Arrow Icon
What can we solve In addition we can expect to solve problems: With hundreds of variables using a parallel environment or exploiting problem information. With a few integer or categorical variables. With a moderate level of multimodality: It is hard to minimize non-convex functions without derivatives. However, it is generally accepted that derivative-free optimization methods have the ability to find ‘good’ local optima .
Image of page 2
Image of page 3
This is the end of the preview. Sign up to access the rest of the document.

{[ snackBarMessage ]}

What students are saying

  • Left Quote Icon

    As a current student on this bumpy collegiate pathway, I stumbled upon Course Hero, where I can find study resources for nearly all my courses, get online help from tutors 24/7, and even share my old projects, papers, and lecture notes with other students.

    Student Picture

    Kiran Temple University Fox School of Business ‘17, Course Hero Intern

  • Left Quote Icon

    I cannot even describe how much Course Hero helped me this summer. It’s truly become something I can always rely on and help me. In the end, I was not only able to survive summer classes, but I was able to thrive thanks to Course Hero.

    Student Picture

    Dana University of Pennsylvania ‘17, Course Hero Intern

  • Left Quote Icon

    The ability to access any university’s resources through Course Hero proved invaluable in my case. I was behind on Tulane coursework and actually used UCLA’s materials to help me move forward and get everything together on time.

    Student Picture

    Jill Tulane University ‘16, Course Hero Intern