Monte Carlo optimization

DOI10.1007/BF00938806MaRDI QIDQ1095042zbMATH OpenFDO

Authors B. H. Dickman, M. J. Gilman

Publication date 1989

Published in Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF00938806

zbMATH Keywords

Monte Carlo optimization techniquesstochastic methods

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical mathematical programming methods (65K05) Nonlinear programming (90C30)

Review text

Monte Carlo optimization techniques for solving mathematical programming problems have been the focus of some debate. This note reviews the debate and puts these stochastic methods in their proper perspective.

Recommendations

• Monte Carlo methods for discrete stochastic optimization
• The Monte Carlo method as a natural mode of expression in operations research
• scientific article; zbMATH DE number 3924519
• scientific article; zbMATH DE number 3843511
• Techniques for Monte Carlo Optimizing

Cites work

• scientific article; zbMATH DE number 3821078 (Why is no real title available?)
• scientific article; zbMATH DE number 3935838 (Why is no real title available?)
• Stochastic Methods for Global Optimization
• Test examples for nonlinear programming codes

Cited in

(15)

• A feedback algorithm for determining search parameters for Monte Carlo optimization
• Integral global minimization: Algorithms, implementations and numerical tests
• Global minimization of constrained problems with discontinuous penalty functions
• Useful Monte Carlo optimization
• Optimal tuning of the hybrid Monte Carlo algorithm
• The Robbins-Monro process and the method of potential functions
• Integral global minimization of constrained problems with discontinuous penalty functions
• scientific article; zbMATH DE number 3974192 (Why is no real title available?)
• scientific article; zbMATH DE number 1203377 (Why is no real title available?)
• Techniques for Monte Carlo Optimizing
• An Optimal Algorithm for Monte Carlo Estimation
• The Monte Carlo method as a natural mode of expression in operations research
• Bias evaluation and reduction for sample-path optimization
• Mean-square optimization for global Monte Carlo algorithms
• Tensor based approach to the numerical treatment of the parameter estimation problems in mathematical immunology

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