A Derivative Free Minimization Method For Noisy Functions

An unconstrained minimization method which is based on Powell's derivative free method is presented. The proposed method retains the termination properties of Powell's method and it can be successfully applied to problems with imprecise function values. The ability of this method to cope with imprecise or noisy problems is due to the fact that it proceeds solely by comparing the relative size of the function values. The method has been implemented and tested, and performance information is given.

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