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arXiv · 0906.1055

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

A. Lecchini-Visintini·J. Lygeros·J. Maciejowski
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Abstract

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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A. Lecchini-Visintini, J. Lygeros, J. Maciejowski. 2010-01-07. Stochastic optimization on continuous domains with finite-time guarantees by Markov chain Monte Carlo methods. https://doi.org/10.1109/tac.2010.2078170

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