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Implicit FilteringImplicit Filtering

C. T. Kelley



Software, Environments, and Tools 23

Implicit filtering is a way to solve bound-constrained optimization problems for which derivative information is not available. Unlike methods that use interpolation to reconstruct the function and its higher derivatives, implicit filtering builds upon coordinate search and then interpolates to get an approximation of the gradient.

The author describes the algorithm, its convergence theory, and a new MATLAB implementation, and includes three case studies. This book is unique in that it
is the only one in the area of derivative-free or sampling methods and is accompanied by publicly available software;
is designed as a software manual and as a reference for implicit filtering one can approach the book as a consumer of the software, as a student, or as a researcher in sampling and derivative-free methods;
includes a chapter on convergence theory that is both accessible to students and an overview of recent results on optimization of noisy functions, including results that depend on non-smooth analysis and results on the handling of constraints.

Implicit filtering is used in applications in electrical, civil, and mechanical engineering.

This book is intended for students who want to learn about this technology, scientists and engineers who would like to apply the methods to real-world problems, and specialists who will use the ideas and the software from this book in their own research.


Latest version of software


Audience
This book is intended for students who want to learn about this technology, scientists and engineers who would like to apply the methods to real-world problems, and specialists who will use the ideas and the software from this book in their own research.

Contents
Preface
Index


About the Authors

C. T. Kelley is a Drexel Professor of Mathematics at North Carolina State University, where he has been on the faculty since 1978. He is the author of four books and over 100 papers and has mentored 18 PhD students. He has served as editor-in-chief of the SIAM Journal on Optimization, SIAM Vice President for Publications, and on the SIAM Council. He is presently editor-in-chief of SIAM Review and serves on the SIAM Board of Trustees. He is a Fellow of SIAM and a member of the American Geophysical Union, the Mathematical Optimization Society, INFORMS, AWM, and the Honorable Order of Kentucky Colonels.

To request an examination copy or desk copy of this book, please use our online request form at www.siam.org/catalog/adopt.php.


Keywords
Optimization, sampling, noisy problems, implicit filtering, inverse problems, software for optimization

2011 / xiv + 172 pages / Softcover / ISBN 978-1-611971-89-7
List Price $65.00 / SIAM Member Price $45.50 / Order Code SE23
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