An adaptive stochastic global optimization algorithm for one-dimensional functions

Locatelli, Marco; Schoen, Fabio
June 1995
Annals of Operations Research;1995, Vol. 58 Issue 1-4, p263
Academic Journal
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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