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.
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The research is sponsored in part by the Air Force under Grant AFOSR-72-2371.
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Devroye, L.P. Progressive global random search of continuous functions. Mathematical Programming 15, 330–342 (1978). https://doi.org/10.1007/BF01609037
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DOI: https://doi.org/10.1007/BF01609037