A problem of one-dimensional global optimization in the presence of noise is considered. The approach is based on modeling the objective function as a standard Wiener process which is observed with independent Gaussian noise. An asymptotic bound for the average error is estimated for the nonadaptive strategy defined by a uniform grid. Experimental results consistent with the asymptotic results are presented. An adaptive algorithm is proposed and experimentally compared with the nonadaptive strategy with respect to the average error.
All Science Journal Classification (ASJC) codes
- Modeling and Simulation
- Computational Theory and Mathematics
- Computational Mathematics
- Statistical models