An adaptive stochastic global optimization algorithm for one-dimensional functions

An adaptive stochastic global optimization algorithm for one-dimensional functions

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Article ID: iaor1996337
Country: Switzerland
Volume: 58
Issue: 1
Start Page Number: 263
End Page Number: 278
Publication Date: Jul 1995
Journal: Annals of Operations Research
Authors: ,
Keywords: programming: probabilistic
Abstract:

In this paper a new algorithm is proposed, based upon the idea of modeling the objective function of a global optimization problem as a sample path from a Wiener process. Unlike previous work in this field, in the proposed model the parameter of the Wiener process is considered as a random variable whose conditional (posterior) distribution function is updated on-line. Stopping criteria for Bayesian algorithms are discussed and detailed proofs on finite-time stopping are provided.

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