Copyright © 2007 Elsevier Ltd All rights reserved.
A lower bound on complexity of optimization on the Wiener space
Available online 13 April 2007.
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Abstract
This paper is a study of the complexity of optimization of continuous univariate functions using a fixed number of sequentially selected function evaluations. The complexity is studied in the average case under a conditioned Wiener measure. We show that to obtain an error of at most
, on the order of loglog(1/
)log(1/
) function evaluations are required.
Keywords: Global optimization; Wiener measure; Average-case complexity







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