Global optimization by random perturbation of the gradient method with a fixed parameter (Q1337130): Difference between revisions

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Property / author: Marc Pogu / rank
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Property / author: Eduardo Souza de Cursi / rank
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Property / author: Marc Pogu / rank
 
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Latest revision as of 09:04, 23 May 2024

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Global optimization by random perturbation of the gradient method with a fixed parameter
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    Global optimization by random perturbation of the gradient method with a fixed parameter (English)
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    30 October 1994
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    An objective function is supposed multimodal, bounded and differentiable, and a feasible region is a ball in Euclidean space. The algorithm is the implementation of a randomly perturbed gradient method. The perturbation is a random vector \(Z\) multiplied by the decreasing factor converging to zero where \(Z\) almost surely belongs to the feasible region. Convergence with probability 1 is proved. Results of experiments are reported.
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    global optimization
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    Monte Carlo methods
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    randomly perturbed gradient method
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