Optimizing user-defined objective functions with no direct expression

Specific Domains Optimization (Mathematical)
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1

I have a Monte Carlo simulation that takes in a set of variables x1, x2, etc. and returns a number of counters that can be used to calculate the actual objective function f()

I wanted to use JuMP to optimize the dimension variables, but is it possible to use the non-linear solver for a problem where there’s no expression to auto-differentiate?

Below is an example of what I thought would work.

function MonteCarlo(data, x, args)
    for i = 1:length(data)
        R = rand()*x  # x is the optimization variable
        a = round(R*data[i]) # some processing based on data and random numbers
        if a%2 == 0
            counter1 = counter1 + 1
        else
            counter2 = counter2 + 1
        end
    return counter1, counter2
end

# Function to calculate the optimization objective 
function f(x, data, args) 

    counter1, counter2  = MonteCarlo(data, x, args)

    η = counter1/counter2
    return η
end

model = Model()
@variable(model, 0 <= x <= 10) 
@NLobjective(model, Max, f(data, x, args))
optimize!(model)
2

Try GitHub - bbopt/NOMAD.jl: Julia interface to the NOMAD blackbox optimization software

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