On importance sampling in the problem of global optimization

DOI10.1515/MCMA.2009.007MaRDI QIDQ3182211zbMATH OpenOpenAlexDBLPWikidataFDO

Authors Trifon I. Missov, Sergeĭ Mikhaĭlovich Ermakov

Publication date 7 October 2009

Published in Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1515/mcma.2009.007

zbMATH Keywords

global optimizationimportance samplingvariance reduction\(D\)-optimal designsmultivariate optimization\(\Delta^{2}\)-distributionMonte Carlo integral evaluation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Optimal statistical designs (62K05) Stochastic programming (90C15)

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Cites work

• An implementation of the method of Ermakov and Zolotukhin for multidimensional integration and interpolation
• Integral Evaluation Using the Δ2-distribution. Simulation and Illustration
• Lattice-based \(D\)-optimum design for Fourier regression
• Optimum Designs in Regression Problems
• The Sequential Generation of D-Optimum Experimental Designs

Cited in

(4)

• Importance sampling in stochastic optimization: an application to intertemporal portfolio choice
• Adaptive importance sampling for optimization under uncertainty problems
• Importance of search-domain reduction in random optimization
• A K-means clustering-based multiple importance sampling algorithm for integral global optimization

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