Iteratively sampling scheme for stochastic optimization with variable number sample path

Shuang Hao, Dali Zhang, Ming Dong

Abstract: Optimal search methods are proposed for solving optimization problems with analytically unobtainable objectives. This paper proposes a method by incorporating sampling schemes into the directional direct search with variable number sample path and investigates its effectiveness in solving stochastic optimization problems. We also explore the conditions on sample sizes at each iteration under which the convergence in probability can be guaranteed. Finally, a set of benchmark problems are numerically tested to show the effectiveness in different sampling schemes.