Abstract Optimizing parameters of physics-based simulators is crucial in the design pro-
cess of engineering and scientific systems. This becomes particularly challenging
when the simulator is stochastic, computationally expensive, black-box and when a
high-dimensional vector of parameters needs to be optimized, as e.g. is the case
in complex climate models that involve numerous interdependent variables and
uncertain parameters. Many traditional optimization methods rely on gradient
information, which is frequently unavailable in legacy black-box codes. To address
these challenges, we present SCOUT-Nd (Stochastic Constrained Optimization for
N dimensions), a gradient-based algorithm that can be used on non-differentiable
objectives. It can be combined with natural gradients in order to further enhance
convergence properties. and it also incorporates multi-fidelity schemes and an
adaptive selection of samples in order to minimize computational effort. We vali-
date our approach using standard, benchmark problems, demonstrating its superior
performance in parameter optimization compared to existing methods. Addition-
ally, we showcase the algorithm’s efficacy in a complex real-world application, i.e.
the optimization of a wind farm layout.
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