An integral method for solving the constrained problem based on Monte-Carlo

zbMATH Open1150.49324MaRDI QIDQ3517869FDOQ3517869

Authors: Hong Yu, Yuqing Wang Error creating thumbnail:

Publication date: 6 August 2008

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zbMATH Keywords

Monte-Carloconstrained problemintegral-level set

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Optimality conditions for solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49K30) Optimality conditions for minimax problems (49K35) Numerical methods in optimal control (49M99)

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• A level-value estimate method for solving constrained global optimization
• Using the Monte Carlo method to solve integral equations using a modified control variate
• Variable measure algorithm of an integral-level set method for solving the constrained problem

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