The author describes the algorithm, its convergence theory, and a new MATLAB implementation, and includes three case studies. This book is unique in that it is the only one in the area of derivative-free or sampling methods and is accompanied by publicly available software. It is also designed as a software manual and as a reference for implicit filtering - one can approach the book as a consumer of the software, as a student, or as a researcher in sampling and derivative-free methods. The book includes a chapter on convergence theory that is both accessible to students and an overview of recent results on optimization of noisy functions, including results that depend on non-smooth analysis and results on the handling of constraints.
Implicit filtering is used in applications in electrical, civil, and mechanical engineering.
Audience: This book is intended for students who want to learn about this technology, scientists and engineers who would like to apply the methods to real-world problems, and specialists who will use the ideas and the software from this book in their own research.
Contents: Preface; How to Get the Software; Chapter 1 Introduction; Chapter 2 Getting Started with imfil.m; Chapter 3 Notation and Preliminaries; Chapter 4 Implicit Filtering Algorithm; Chapter 5 Convergence Theory; Chapter 6 Using imfil.m; Chapter 7 Advanced Options; Chapter 8 Harmonic Oscillator; Chapter 9 Hydraulic Capture Problem; Chapter 10 Water Resources Policy; Bibliography; Index