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

MaRDI QIDQ3517869zbMATH OpenFDO

Authors Hong Yu, Yuqing Wang

Publication date 6 August 2008

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

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