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Achieving the Ergodically Optimal Convergence Rate for a One-Dimensional Minimization Problem

✍ Scribed by H.P. Wynn; A.A. Zhigljavsky


Publisher
Elsevier Science
Year
1995
Tongue
English
Weight
937 KB
Volume
11
Category
Article
ISSN
0885-064X

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A One-Dimensional Optimization Algorithm
✍ James M. Calvin πŸ“‚ Article πŸ“… 2001 πŸ› Elsevier Science 🌐 English βš– 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