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A lower bound on complexity of optimization under the -fold integrated Wiener measure

โœ Scribed by James M. Calvin


Book ID
108163830
Publisher
Elsevier Science
Year
2011
Tongue
English
Weight
240 KB
Volume
27
Category
Article
ISSN
0885-064X

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A One-Dimensional Optimization Algorithm
โœ James M. Calvin ๐Ÿ“‚ Article ๐Ÿ“… 2001 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 258 KB

In this paper we describe an adaptive algorithm for approximating the global minimum of a continuous function on the unit interval, motivated by viewing the function as a sample path of a Wiener process. It operates by choosing the next observation point to maximize the probability that the objectiv