An Adaptive Univariate Global Optimization Algorithm and Its Convergence Rate under the Wiener Measure
Volume 22, Issue 4 (2011), pp. 471–488
Pub. online: 1 January 2011
Type: Research Article
Received
1 May 2011
1 May 2011
Accepted
1 October 2011
1 October 2011
Published
1 January 2011
1 January 2011
Abstract
We describe an adaptive algorithm for approximating the global minimum of a continuous univariate function. The convergence rate of the error is studied for the case of a random objective function distributed according to the Wiener measure.