Stochastic optimization on continuous domains with finite-time guarantees by Markov chain Monte Carlo methods
Optimization and Control
2016-11-17 v2
Abstract
We introduce bounds on the finite-time performance of Markov chain Monte Carlo algorithms in approaching the global solution of stochastic optimization problems over continuous domains. A comparison with other state-of-the-art methods having finite-time guarantees for solving stochastic programming problems is included.
Cite
@article{arxiv.0906.1055,
title = {Stochastic optimization on continuous domains with finite-time guarantees by Markov chain Monte Carlo methods},
author = {A. Lecchini-Visintini and J. Lygeros and J. Maciejowski},
journal= {arXiv preprint arXiv:0906.1055},
year = {2016}
}
Comments
29 pages, 6 figures. Revised version based on referees report