SNOBFIT -- Stable Noisy Optimization by Branch and Fit

Authors:
Waltraud Huyer;Arnold Neumaier
Affiliations:
Universität Wien;Universität Wien
Venue:
ACM Transactions on Mathematical Software (TOMS)
Year:
2008

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Abstract

The software package SNOBFIT for bound-constrained (and soft-constrained) noisy optimization of an expensive objective function is described. It combines global and local search by branching and local fits. The program is made robust and flexible for practical use by allowing for hidden constraints, batch function evaluations, change of search regions, etc.