Lower bound on complexity of optimization of continuous functions

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Abstract

This paper considers the problem of approximating the minimum of a continuous function using a fixed number of sequentially selected function evaluations. A lower bound on the complexity is established by analyzing the average case for the Brownian bridge.

Original languageEnglish (US)
Pages (from-to)773-795
Number of pages23
JournalJournal of Complexity
Volume20
Issue number5
DOIs
StatePublished - Oct 2004

All Science Journal Classification (ASJC) codes

  • Algebra and Number Theory
  • Statistics and Probability
  • Numerical Analysis
  • Mathematics(all)
  • Control and Optimization
  • Applied Mathematics

Keywords

  • Average case complexity
  • Global optimization
  • Wiener measure

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