Title :
Average performance of quasi Monte Carlo methods for global optimization
Author :
Al-Mharmah, Hisham A.
Author_Institution :
Dept. of Ind. Eng., Jordan Univ., Amman, Jordan
Abstract :
We compare the average performance of one class of low-discrepancy quasi-Monte Carlo sequences for global optimization. The Weiner measure is assumed as the prior probability on all optimized functions. We show how to construct van der Corput sequences and we prove their consistency. Numerical experimentation shows that the van der Corput sequence in base 2 has a better average performance
Keywords :
Monte Carlo methods; integration; mathematical programming; Weiner measure; average performance; global optimization; numerical integration; numerical method; prior; prior probability; quasi Monte Carlo methods; random sampling; van der Corput sequences; Approximation error; Error analysis; Industrial engineering; Monte Carlo methods; Optimization methods; Sampling methods; Terminology;
Conference_Titel :
Simulation Conference Proceedings, 1998. Winter
Conference_Location :
Washington, DC
Print_ISBN :
0-7803-5133-9
DOI :
10.1109/WSC.1998.745043
