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Article
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Mathematics of Computation
Article . 1995 . Peer-reviewed
Data sources: Crossref
Mathematics of Computation
Article . 1995 . Peer-reviewed
Data sources: Crossref
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Adaptive Search in Quasi-Monte-Carlo Optimization

Adaptive search in quasi-Monte-Carlo optimization
Authors: Biester, Christian; Grabner, Peter J.; Larcher, Gerhard; Tichy, Robert F.;

Adaptive Search in Quasi-Monte-Carlo Optimization

Abstract

Motivated by a linear time-complexity result for an adaptive Monte Carlo algorithm, we propose and analyze an adaptive deterministic algorithm. We restrict a grid search to nested subregions that promise to provide improvement of the current solution, and we obtain an exponential rate of convergence in function evaluations. For proving the main result we restrict ourselves to functions on hypercubes. In a final section we outline how to extend the method to the general case and give some numerical examples.

Keywords

Pseudo-random numbers; Monte Carlo methods, numerical examples, Combinatorial optimization, convergence, adaptive Monte Carlo algorithm, Monte Carlo methods, quasi-Monte Carlo optimization, nondifferentiable functions, Numerical mathematical programming methods, adaptive searching

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
bronze