A One-Dimensional Optimization Algorithm and Its Convergence Rate under the Wiener Measure

@article{Calvin2001AOO,
  title={A One-Dimensional Optimization Algorithm and Its Convergence Rate under the Wiener Measure},
  author={James M. Calvin},
  journal={J. Complexity},
  year={2001},
  volume={17},
  pages={306-344}
}
In this paper we describe an adaptive algorithm for approximating the global minimum of a continuous function on the unit interval, motivated by viewing the function as a sample path of a Wiener process. It operates by choosing the next observation point to maximize the probability that the objective function has a value at that point lower than an… CONTINUE READING