Average performance of Monte Carlo and Quasi-Monte Carlo methods for global optimization.
James M. CalvinPublished in: WSC (1994)
Keyphrases
- global optimization
- monte carlo methods
- monte carlo
- importance sampling
- particle swarm optimization
- monte carlo simulation
- markov chain
- adaptive sampling
- monte carlo method
- particle filter
- confidence intervals
- variance reduction
- markovian decision
- genetic algorithm
- matrix inversion
- stochastic approximation
- upper bound
- constrained global optimization
- search algorithm