A Stochastic Simplex Approximate Gradient (StoSAG) for optimization under uncertainty

• Published in: International journal for numerical methods in engineering Vol. 109; no. 13; pp. 1756 - 1776
• Main Authors: Fonseca, Rahul Rahul‐Mark, Chen, Bailian, Jansen, Jan Dirk, Reynolds, Albert
• Format: Journal Article
• Language: English
• Published: Bognor Regis Wiley Subscription Services, Inc 30.03.2017
• Subjects: Algorithms; Approximate gradient; Ensemble optimization; Geology; Mathematical analysis; Mathematical models; Optimization; Robust optimization; Robustness (mathematics); Stochastic gradient; Stochasticity; StoSAG; Uncertainty

Summary We consider a technique to estimate an approximate gradient using an ensemble of randomly chosen control vectors, known as Ensemble Optimization (EnOpt) in the oil and gas reservoir simulation community. In particular, we address how to obtain accurate approximate gradients when the underlyi...