Stochastic optimization on continuous domains with finite-time guarantees by Markov chain Monte Carlo methods

Details Stochastic optimization on continuous domains with finite-time guarantees by Markov chain Monte Carlo methods Stochastic optimization on continuous domains with finite-time guarantees by Markov chain Monte Carlo methods

2009-06-05

arxiv.org/abs/0906.1055v2

IEEE Transactions on Automatic Control, 55(12):2858-2863, 2010

Mathematics

Optimization and Control

29 pages, 6 figures. Revised version based on referees report

Scientific paper

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.

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