Adaptive Finite-Difference Interval Estimation for Noisy Derivative-Free Optimization
Adaptive Finite-Difference Interval Estimation for Noisy Derivative-Free Optimization
A common approach for minimizing a smooth nonlinear function is to employ finite-difference approximations to the gradient. While this can be easily performed when no error is present within the function evaluations, when the function is noisy, the optimal choice requires information about the noise level and higher-order derivatives of …