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

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.

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Year of publication:	1978
Authors:	Rubinstein, Y. ; Karnovsky, A.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 6.1978, 2, p. 129-134
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008872867