I know not the first thing about linear programming or numerical optimisation,
but I have a problem which I think is related; can anyone point me in the
right direction?
I have a set of variables x y... (usually not more than two, though there
might be in some cases), and an oracle which can tell, given a value for each
variable, whether the result is 'good'. The goal is to construct a model for
the oracle.
The oracle is reasonably nice: it is continuous and monotonic, but slightly
noisy; it might end up being locally non-monotonic, but the model should still
be monotonic.
I expect the oracle can generally be modeled by a simple equation like: 0 < a
+ (b*x) + (c*y)--then the goal is to find values for a, b, and c;--or possibly
the second-order equivalent of the same; or possibly a piecewise composition
of such equations. The model should be fast to evaluate, so it shouldn't have
any more terms than are necessary to construct a reasonable approximation.
Any pointers?
-E
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