Abstract:Ensemble-based optimization (EnOpt), commonly used in reservoir management, can be seen as a special case of a natural evolution algorithm. Stein’s lemma gives a new interpretation of EnOpt. This interpretation enables us to study EnOpt in the context of general mutation distributions. In this paper, a non-Gaussian generalization of EnOpt (GenOpt) is proposed, where the control gradient is estimated using Stein’s lemma, and the mutation distribution is updated separately via natural evolution. For the multivar… Show more
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