Article ID: | iaor20042275 |
Country: | United Kingdom |
Volume: | 30 |
Issue: | 10 |
Start Page Number: | 1539 |
End Page Number: | 1553 |
Publication Date: | Sep 2003 |
Journal: | Computers and Operations Research |
Authors: | Smith Robert L., Zabinsky Zelda B., Kristinsdottir Birna P. |
Keywords: | statistics: sampling |
We are given an unknown univariate Lipschitz continuous function that we wish to estimate by evaluating the function sequentially at distinct points. We provide a procedure for recursively selecting this sequence of points so that, averaging over points in the domain the resulting worst case error between the estimating and actual functions is minimized. Upper and lower bounds on these errors are also provided.