Bayesian Methods for Global Optimization in the Gaussian Case

  • Jonas Mockus
Part of the Mathematics and Its Applications book series (MASS, volume 37)


The formula for the one-step Bayesian approach assuming the Gaussian distribution is from (2.5.1) and (2.5.5)
$$x_{n + 1} \in \arg \mathop {\min }\limits_{x \in A} (1/\sigma )\int {_{ - \infty }^\infty } \min \,(y,c)\,\exp \,(( - {1 \mathord{\left/ {\vphantom {1 2}} \right. \kern-\nulldelimiterspace} 2})\,((y - \mu )/\sigma )^2 )dy.$$


Local Search Global Minimum Bayesian Method Conditional Expectation Sample Path 
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Copyright information

© Kluwer Academic Publishers 1989

Authors and Affiliations

  • Jonas Mockus
    • 1
  1. 1.Academy of Sciences of the Lithuanian SSRInstitute of Mathematics and CyberneticsVilniusUSSR

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