Approximation of Computationally Expensive and Noisy Functions for Constrained Nonlinear Optimization

Abstract

The use of statistical experimental designs is explored as a method of approximating computationally expensive and noisy functions. The advantages of experimental designs and function approximation for use in optimization are discussed. Several test problems are reported showing the approximation method to be competitive with the most efficient optimization algorithms when no noise is present. When noise is introduced, the approximation method is more efficient and solves more problems than conventional nonlinear programming algorithms.