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Results for “stochastic derivative-free optimization”

Search indexed NASA NTRS and DOE OSTI research on propulsion, heat transfer, battery materials and energy systems. Follow report and document links to the original sources.

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13 records
All sourcesNASA NTRSDOE OSTI
DOE OSTI2026

Adaptive Sampling-Based Bi-Fidelity Stochastic Trust Region Method for Stochastic Derivative-Free Optimization

Bi-fidelity stochastic optimization has gained increasing attention as an efficient approach to reduce computational costs by leveraging a low-fidelity (LF) model to optimize an expensive high-fidelity (HF) objective. In this paper, we propose ASTRO-BFDF, an adaptive sampling trust-region method specifically designed for unconstrained bi-fidelity stochastic derivative-free optimization problems. In ASTRO-BFDF, the LF function serves two purposes: (i) to identify better iterates for the HF function when the optimization process indicates a high correlation between them and (ii) to reduce the variance of the HF function estimates using bi-fidelity Monte Carlo (BFMC). The algorithm dynamically determines sample sizes while adaptively choosing between crude Monte Carlo and BFMC to balance the trade-off between optimization and sampling errors. We prove that the iterates generated by ASTRO-BFDF converge to a first-order stationary point almost surely. Additionally, we demonstrate the effectiveness of the proposed algorithm through numerical experiments on synthetic benchmarks and simulation optimization problems involving discrete event systems.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2025

Derivative-free stochastic optimization via adaptive sampling strategies

In this paper, we present a novel derivative-free framework for solving unconstrained stochastic optimization problems. Many problems in fields ranging from simulation optimization to reinforcement learning to quantum computing involve settings where only stochastic function values are obtained via a zeroth-order oracle, which has no available gradient information and necessitates the usage of derivative-free optimization methodologies. Our approach includes estimating gradients using stochastic function evaluations and integrating adaptive sampling techniques to control the accuracy in these stochastic approximations. Our framework encapsulates several gradient estimation techniques, including standard finite-difference, Gaussian smoothing, sphere smoothing, randomized coordinate finite-difference, and randomized subspace finite-difference methods. We provide theoretical convergence guarantees for our framework and analyze the worst-case iteration and sample complexities associated with each gradient estimation method. Finally, we demonstrate the empirical performance of the methods on logistic regression and nonlinear least squares problems.

Adaptive sampling↗
DOE OSTI2026

A large-scale benchmarking of deterministic and stochastic derivative-free optimization algorithms

This presentation summarizes our work in the PrOMMiS project on benchmarking of data-driven optimization algorithms and their applications in self-driving laboratories. This work supports the broader project goal of accelerating the identification of promising separation methods and operating conditions for critical minerals separation processes. We present a systematic benchmarking study of 42 data-driven optimization algorithms on a broad collection of 502 test problems. The results identify BAM, GLCCLUSTER, and MULTIMIN as the most effective optimization solvers, with BAM showing the highest overall performance and solving more than 80% of the benchmark problems. The study also shows that no single solver consistently outperforms the others across all problem types, indicating that our future laboratory applications may benefit from using a small set of strong solvers rather than relying on a single method. The presentation also illustrates an in-silico chemical reactor case study showing that data-driven optimization methods can guide autonomous experimentation in a self-driving laboratory and identify optimal operating conditions within a small number of experiments. Overall, the results provide a basis for selecting efficient optimization methods and demonstrate the practical use of data-driven optimization in self-driving laboratory workflows.

36 MATERIALS SCIENCE↗
DOE OSTI2024

Stochastic Trust-Region Algorithm in Random Subspaces with Convergence and Expected Complexity Analyses

Here, this work proposes a framework for large-scale stochastic derivative-free optimization (DFO) by introducing STARS, a trust-region method based on iterative minimization in random subspaces. This framework is both an algorithmic and theoretical extension of a random subspace derivative-free optimization (RSDFO) framework, and an algorithm for stochastic optimization with random models (STORM). Moreover, like RSDFO, STARS achieves scalability by minimizing interpolation models that approximate the objective in low-dimensional affine subspaces, thus significantly reducing per-iteration costs in terms of function evaluations and yielding strong performance on largescale stochastic DFO problems. The user-determined dimension of these subspaces, when the latter are defined, for example, by the columns of so-called Johnson-Lindenstrauss transforms, turns out to be independent of the dimension of the problem. For convergence purposes, inspired by the analyses of RSDFO and STORM, both a particular quality of the subspace and the accuracies of random function estimates and models are required to hold with sufficiently high, but fixed, probabilities. Using martingale theory under the latter assumptions, an almost sure global convergence of STARS to a first-order stationary point is shown, and the expected number of iterations required to reach a desired first-order accuracy is proved to be similar to that of STORM and other stochastic DFO algorithms, up to constants.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2021

Manifold learning for coarse-graining atomistic simulations: Application to amorphous solids

In this work, we introduce a generalized machine learning framework to probabilistically parameterize upper-scale models in the form of nonlinear PDEs consistent with a continuum theory, based on coarse-grained atomistic simulation data of mechanical deformation and flow processes. The proposed framework utilizes a hypothesized coarse-graining methodology with manifold learning and surrogate-based optimization techniques. Coarse-grained high-dimensional data describing quantities of interest of the multiscale models are projected onto a nonlinear manifold whose geometric and topological structure is exploited for measuring behavioral discrepancies in the form of manifold distances. A surrogate model is constructed using Gaussian process regression to identify a mapping between stochastic parameters and distances. Derivative-free optimization is employed to adaptively identify a unique set of parameters of the upper-scale model capable of rapidly reproducing the system's behavior while maintaining consistency with coarse-grained atomic-level simulations. The proposed method is applied to learn the parameters of the shear transformation zone (STZ) theory of plasticity that describes plastic deformation in amorphous solids as well as coarse-graining parameters needed to translate between atomistic and continuum representations. We show that the methodology is able to successfully link coarse-grained microscale simulations to macroscale observables and achieve a high-level of parity between the models across scales.

36 MATERIALS SCIENCE↗
DOE OSTI2023

Adaptive sampling quasi-Newton methods for zeroth-order stochastic optimization

Here, we consider unconstrained stochastic optimization problems with no available gradient information. Such problems arise in settings from derivative-free simulation optimization to reinforcement learning. We propose an adaptive sampling quasi-Newton method where we estimate the gradients using finite differences of stochastic function evaluations within a common random number framework. We develop modified versions of a norm test and an inner product quasi-Newton test to control the sample sizes used in the stochastic approximations and provide global convergence results to the neighborhood of a locally optimal solution. We present numerical experiments on simulation optimization problems to illustrate the performance of the proposed algorithm. When compared with classical zeroth-order stochastic gradient methods, we observe that our strategies of adapting the sample sizes significantly improve performance in terms of the number of stochastic function evaluations required.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2024

A Novel Noise-Aware Classical Optimizer for Variational Quantum Algorithms

A key component of variational quantum algorithms (VQAs) is the choice of classical optimizer employed to update the parameterization of an ansatz. It is well recognized that quantum algorithms will, for the foreseeable future, necessarily be run on noisy devices with limited fidelities. Thus, the evaluation of an objective function (e.g., the guiding function in the quantum approximate optimization algorithm (QAOA) or the expectation of the electronic Hamiltonian in variational quantum eigensolver (VQE)) required by a classical optimizer is subject not only to stochastic error from estimating an expected value but also to error resulting from intermittent hardware noise. Model-based derivative-free optimization methods have emerged as popular choices of a classical optimizer in the noisy VQA setting, based on empirical studies. However, these optimization methods were not explicitly designed with the consideration of noise. In this work we adapt recent developments from the “noise-aware numerical optimization” literature to these commonly used derivative-free model-based methods. We introduce the key defining characteristics of these novel noise-aware derivative-free model-based methods that separate them from standard model-based methods. In conclusion, we study an implementation of such noise-aware derivative-free model-based methods and compare its performance on demonstrative VQA simulations to classical solvers packaged in scikit-quant.

classical optimizers↗
DOE OSTI2024

Stochastic average model methods

We consider the solution of finite-sum minimization problems, such as those appearing in nonlinear least-squares or general empirical risk minimization problems. We are motivated by problems in which the summand functions are computationally expensive and evaluating all summands on every iteration of an optimization method may be undesirable. Here we present the idea of stochastic average model (SAM) methods, inspired by stochastic average gradient methods. SAM methods sample component functions on each iteration of a trust-region method according to a discrete probability distribution on component functions; the distribution is designed to minimize an upper bound on the variance of the resulting stochastic model. We present promising numerical results concerning an implemented variant extending the derivative-free model-based trust-region solver POUNDERS, which we name SAM-POUNDERS.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2023

Scalable computations for nonstationary Gaussian processes

Nonstationary Gaussian process models can capture complex spatially varying dependence structures in spatial datasets. However, the large number of observations in modern datasets makes fitting such models computationally intractable with conventional dense linear algebra. In addition, derivative-free or even first-order optimization methods can be very slow to converge when estimating many spatially varying parameters. In this paper, we present a computational framework which couples an algebraic block diagonal plus low-rank covariance matrix approximation with stochastic trace estimation to facilitate the efficient use of second-order solvers for maximum likelihood estimation of Gaussian process models with many parameters. We demonstrate the effectiveness of these methods by simultaneously fitting 192 parameters in the popular nonstationary model of Paciorek and Schervish using 107,600 sea surface temperature anomaly measurements.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2019

Derivative-free optimization methods

In many optimization problems arising from scientific, engineering and artificial intelligence applications, objective and constraint functions are available only as the output of a black-box or simulation oracle that does not provide derivative information. Such settings necessitate the use of methods for derivative-free, or zeroth-order, optimization. We provide a review and perspectives on developments in these methods, with an emphasis on highlighting recent developments and on unifying treatment of such problems in the non-linear optimization and machine learning literature. We categorize methods based on assumed properties of the black-box functions, as well as features of the methods. We first overview the primary setting of deterministic methods applied to unconstrained, non-convex optimization problems where the objective function is defined by a deterministic black-box oracle. We then discuss developments in randomized methods, methods that assume some additional structure about the objective (including convexity, separability and general non-smooth compositions), methods for problems where the output of the black-box oracle is stochastic, and methods for handling different types of constraints.

97 MATHEMATICS AND COMPUTING↗
DOE OSTI2020

LA17-V-InverseRadTransportProblem-PD2Kb. Final Project Report

In the inverse radiation transport problem, a radiation signal emanating from an unknown object is used to reconstruct geometric and material parameters of the object , e.g., the mass of special nuclear material (SNM), the isotopic composition of the SNM (e.g., the enrichment of 235U), the thickness of shielding, etc. The inverse radiation transport problem is one of the most fundamental and important in the emergency response mission, and has been addressed in previous NA-22 and NA-42/84 investments by using derivative-free optimization methods. Our project was aimed at (i) consolidating previous work by applying polynomial chaos expansion (PCE) for reducing significantly the number of forward model simulations required by derivative-free optimization methods; (ii) developing a general-purpose framework and stand-alone software for solving the inverse radiation transport problem by applying a new “predictive modeling” methodology (predictive modeling of coupled multi-physics systems, PM_CMPS) which enables the fusing of experimental and computational information; and (iii) developing several benchmarks (for unscattered gamma rays) for demonstrating the quantification of non-Gaussian features (e.g., skewness and kurtosis, which characterize asymmetries and long tails) of response distributions by deterministically and efficiently propagating parameter uncertainties (covariances and higher-order moments, where available) using high-order sensitivities computed by the recently developed comprehensive adjoint sensitivity analysis methodology (C-ASAM). With regard to (i), application of PCE, the most significant accomplishment of this project was an implementation of PCE into INVERSE that significantly reduced computation time for the DiffeRential Evolution Adaptive Metropolis (DREAM) and Differential Evolution (DE) methods. For inverse transport problems with measurements of neutron leakage, neutron multiplication, and neutron-induced gamma-rays, the solution times for the DREAM and DE methods were reduced by factors of 30-300, reducing run times from hours to minutes while maintaining the same accuracy as the standard (non-PCE) DREAM and DE. Speedups were further improved by exploring sparse grid quadrature sets using the Toolkit for Adaptive Stochastic Modeling and Non-Intrusive ApproximatioN (Tasmanian) toolset. An initial exploration of sparse grids indicated that further speedups factors of 5-10 are obtainable. The implementation of PCE in INVERSE is not in a form that users can easily access. With regard to (ii), solving the inverse problem using a predictive modeling paradigm, the most significant accomplishment of this project were the derivation and implementation of adjoint-based second derivatives in neutron and photon transport theory. There are two codes that compute these derivatives. SENSPG computes them for uncollided gamma rays and SENSMG computes them for neutron leakage. SENSMG is open-source code available on github. Other significant accomplishments included a stand-alone code, MULTI-PRED, that implements the predictive modeling paradigm, along with a detailed manual. The code was implemented in the existing INVERSE code for inverse problems, but a head-to-head comparison of inverse methods was not achieved. We also derived and implemented the capability to compute sensitivities for multiplicity measurements into the SENSMG code, and this capability was used in a data assimilation application, but it was not used for solving inverse problems. With regard to (iii), developing benchmarks to demonstrate the importance of high-order sensitivity and uncertainty analysis, the most significant accomplishment of this project were two test problems that showed how important second-order sensitivities are.

07 ISOTOPE AND RADIATION SOURCES↗
DOE OSTI2026

Adaptive Sampling Trust Region Method for Bi-fidelity Simulation Optimization [SWR-25-166]

Adaptive Sampling Trust Region Method for Bi-fidelity Simulation Optimization aims to demonstrate the effect of adaptive sampling-based bi-fidelity stochastic trust region method (ASTRO-BFDF). ASTRO-BFDF, derived from a derivative-free adaptive sampling trust-region optimization (ASTRO-DF) (Shashaani et al. 2018, Ha and Shashaani 2023), intended to efficiently solve the bi-fidelity simulation optimization.

Mueller, Juliane [National Laboratory of the Rocki↗
DOE OSTI2024

Two-Stage Estimation and Variance Modeling for Latency-Constrained Variational Quantum Algorithms

The quantum approximate optimization algorithm (QAOA) has enjoyed increasing attention in noisy, intermediate-scale quantum computing with its application to combinatorial optimization problems. QAOA has the potential to demonstrate a quantum advantage for NP-hard combinatorial optimization problems. As a hybrid quantum-classical algorithm, the classical component of QAOA resembles a simulation optimization problem in which the simulation outcomes are attainable only through a quantum computer. The simulation that derives from QAOA exhibits two unique features that can have a substantial impact on the optimization process: (i) the variance of the stochastic objective values typically decreases in proportion to the optimality gap, and (ii) querying samples from a quantum computer introduces an additional latency overhead. In this paper, we introduce a novel stochastic trust-region method derived from a derivative-free, adaptive sampling trust-region optimization method intended to efficiently solve the classical optimization problem in QAOA by explicitly taking into account the two mentioned characteristics. The key idea behind the proposed algorithm involves constructing two separate local models in each iteration: a model of the objective function and a model of the variance of the objective function. Exploiting the variance model allows us to restrict the number of communications with the quantum computer and also helps navigate the nonconvex objective landscapes typical in QAOA optimization problems. In conclusion, we numerically demonstrate the superiority of our proposed algorithm using the SimOpt library and Qiskit when we consider a metric of computational burden that explicitly accounts for communication costs.

Derivative-free Optimization↗