Adaptive sampling for optimization under uncertainty
Zi-He Wan, Takeru Igusa · 2004
The problems of interest are where the objective function must be evaluated using sampling techniques. The sampled function values are used to build an approximation to the response surface over the product space of uncertainties and design variables. This approximation is successively used in the integration over the space of uncertainties and in the optimization (minimization) over the space of design variables. A surrogate-based trust region method is used to determine a succession of design points for optimization