Average case behavior of random search for the maximum

DOI10.2307/3215090MaRDI QIDQ4364870zbMATH OpenOpenAlexFDO

Authors James M. Calvin, Peter W. Glynn

Publication date 7 July 1998

Published in Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/3215090

zbMATH Keywords

average complexityBrownian motionglobal optimization

Mathematics Subject Classification ID

Brownian motion (60J65) Analysis of algorithms and problem complexity (68Q25)

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(4)

• Optimal random non-adaptive algorithm for global optimization of Brownian motion
• A statistical model for global optimization by means of select and clone
• Search for the maximum of a random walk
• Asymptotics of the maximum of Brownian motion under Erlangian sampling

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