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Expected number of steps of a random optimization method

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Abstract

In this paper, we give an estimate of the expected number of steps of Matya's random optimization method applied to the constrained nonlinear minimization problem. It is also shown that, in a sense, this random optimization method can be optimized by the uniform distribution, in which case the exact value of the expected number of steps is computed.

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References

  1. Baba, N.,Convergence of a Random Optimization Method for Constrained Optimization Problems, Journal of Optimization Theory and Applications, Vol. 33, pp. 451–461, 1981.

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  2. Doob, J. L.,Stochastic Process, John Wiley and Sons, New York, New York, 1953.

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  3. Matyas, J.,Random Optimization, Automation and Remote Control, Vol. 26, pp. 246–253, 1965.

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Communicated by D. P. Bertsekas

This work was partially supported by the National Research Council of Brazil, Grant No. CNPq-2000.607/82.

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Dorea, C.C.Y. Expected number of steps of a random optimization method. J Optim Theory Appl 39, 165–171 (1983). https://doi.org/10.1007/BF00934526

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  • DOI: https://doi.org/10.1007/BF00934526

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