Consistency of a myopic Bayesian algorithm for one-dimensional global optimization

DOI10.1007/BF01096740MaRDI QIDQ2366971zbMATH OpenOpenAlexFDO

Authors James M. Calvin

Publication date 15 August 1993

Published in Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01096740

zbMATH Keywords

Bayesian optimizationBrownian motionconsistencymyopic algorithmworst-case analysis

Mathematics Subject Classification ID

Computational methods for problems pertaining to operations research and mathematical programming (90-08) Nonlinear programming (90C30)

Review text

The author formulates and analyzes a myopic algorithm for finding the maximum of an unknown function based on squared error loss. The convergence properties of the myopic algorithm are investigated. A worst- case analysis of the algorithm for Brownian motion is given.

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Cites work

• Bayesian methods in global optimization
• Global optimization
• scientific article; zbMATH DE number 3913429 (Why is no real title available?)
• scientific article; zbMATH DE number 43985 (Why is no real title available?)
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• scientific article; zbMATH DE number 3278887 (Why is no real title available?)
• On the consistency of Bayes estimates
• The joint density of the maximum and its location for a Wiener process with drift

Cited in

(3)

• Average performance of passive algorithms for global optimization
• Optimal random non-adaptive algorithm for global optimization of Brownian motion
• Convergence properties of the expected improvement algorithm with fixed mean and covariance functions

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