Industrial Mathematics and Statistics Seminar (PD)
Description
Industrial Mathematics and Statistics Seminar
Feb. 24th, Thursday, 11am-noon;
Zoom: https://purdue-edu.zoom.us/j/97536401913
Speaker: Jorge Nocedal (Northwestern University)
Title: Optimization of Black-Box Functions in the Presence of Noise
Abstract: In many engineering applications, one wishes to optimize the performance of a system simulated by software whose intrinsics are not accessible to us. Objective function values are available (and are typically noisy) but derivatives are unknown. We discuss how to solve problems of this kind in practice. Examples in machine learning and engineering design illustrate the challenges to be overcome, particularly when the number of unknowns is large and the model includes constraints that must be respected.