Theoretical and numerical study of the performance of `Pincus' optimisation method

DOI10.1504/IJMMNO.2016.081886MaRDI QIDQ6108480zbMATH OpenOpenAlexFDO

Authors Majed Chemkhi, Mohamed Jebalia, A. Makhlouf

Publication date 29 June 2023

Published in International Journal of Mathematical Modelling and Numerical Optimisation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1504/ijmmno.2016.081886

zbMATH Keywords

law of large numbersMonte Carlo approximationnumerical optimisationPincus algorithmstochastic optimisation

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Numerical mathematical programming methods (65K05) Stochastic programming (90C15)

Review text

Summary: In this work, we are interested in the numerical and theoretical study of the so called `Pincus algorithm', which is a stochastic optimisation method. It is based on a representation of the optimum as a limit of a ratio of two expectations, computed using a Monte Carlo approximation. First, we theoretically study the convergence of Pincus algorithm. Then, numerical computations are performed: we show the algorithm advantages and limits, in comparison with other methods in terms of robustness, speed and dependence on the dimension.

Recommendations

• Extended Pincus theorems and convergence of simulated annealing
• Optimization algorithm with probabilistic estimation
• scientific article; zbMATH DE number 1560334
• Criterion algorithms of stochastic optimization
• scientific article; zbMATH DE number 433029

This page was built for publication: Theoretical and numerical study of the performance of `Pincus' optimisation method

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6108480)