[SciPy-user] advice on stochastic(?) optimisation

bryan cole bryan.cole@teraview....
Thu Aug 28 10:23:27 CDT 2008


I'll looking for a bit of guidance as to what sort of algorithm is most
appropriate/efficient for finding the local maximum of a function (in 2
dimensions), where each function evaluation is 1) noisy and 2)
expensive/slow to evaluate.

I'd welcome any suggestions for where best to start investigating this
(text books, references, web-sites or existing optimisation libraries).
I've no background in this field at all.


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