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: | Locatelli Marco, Schoen Fabio |
Keywords: | programming: probabilistic |
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.