On the minimum of a conditioned Brownian bridge

DOI10.1080/15326349.2018.1465435MaRDI QIDQ4646606zbMATH OpenOpenAlexWikidataFDO

Authors Aureli Alabert, R. Caballero

Publication date 14 January 2019

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1511.05735

zbMATH Keywords

black-box optimizationBrownian bridgesimulation

Mathematics Subject Classification ID

Brownian motion (60J65) Monte Carlo methods (65C05) Nonconvex programming, global optimization (90C26)

Abstract: We study the law of the minimum of a Brownian bridge, conditioned to take specific values at specific points, and the law of the location of the minimum. They are used to compare some non-adaptive optimisation algorithms for black-box functions for which the Brownian bridge is an appropriate probabilistic model and only a few points can be sampled.

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Cited in

(2)

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Describes a project that uses

Uses Software

• QUADPACK
• MultinomialCI

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