Local and integral properties of a search algorithm of the stochastic approximation type

Y. Rubinstein and A. Karnovsky

Stochastic Processes and their Applications, 1978, vol. 6, issue 2, 129-134

Abstract: An optimum random-search algorithm is considered. The convergence conditions to the greatest increase (local properties) and convergence to the point of extremum (integral properties) of a function by optimizing in the presence of noise, are found. The results are used for finding a global extremum of a multiextremal function.

Date: 1978
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