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Mathematical Programming

, Volume 15, Issue 1, pp 330–342 | Cite as

Progressive global random search of continuous functions

  • Luc P. Devroye
Article

Abstract

A sequential random search method for the global minimization of a continuous function is proposed. The algorithm gradually concentrates the random search effort on areas neighboring the global minima. A modification is included for the case that the function cannot be exactly evaluated. The global convergence and the asymptotical optimality of the sequential sampling procedure are proved for both the stochastic and deterministic optimization problem.

Key words

Global Optimization Random Search Convergence Sequential Minimization Lipschitz Functions Stochastic Programming 

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Copyright information

© The Mathematical Programming Society 1978

Authors and Affiliations

  • Luc P. Devroye
    • 1
  1. 1.McGill UniversityMontrealCanada

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