Why does Monte Carlo fail to work properly in high-dimensional optimization problems?

DOI10.1007/S10957-016-1045-4MaRDI QIDQ2363574zbMATH OpenOpenAlexFDO

Authors P. S. Shcherbakov, Boris T. Polyak

Publication date 20 July 2017

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

Full work available at URL https://arxiv.org/abs/1603.00311

zbMATH Keywords

Monte Carlosample sizeaccuracyhigh-dimensional optimization\(l_p\)-ballsdeterministic gridslinear objective

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical mathematical programming methods (65K05) Large-scale problems in mathematical programming (90C06) Stochastic programming (90C15)

Abstract: The paper proposes an answer to the question formulated in the title.

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Cited in

(2)

• Investigation of feasible and marginal operating regimes of electric power systems
• Pure random search with virtual extension of feasible region

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