Minimization algorithm in the presence of random noise
Volume 1, Issue 1 (1990), pp. 59–70
Pub. online: 1 January 1990
Type: Research Article
Published
1 January 1990
1 January 1990
Abstract
In this paper the problem of optimization of multivariate multimodal functions observed with random error is considered. Using the random function for a statistical model of the objective function the minimization procedure is suggested. This algorithm is convergent on a discrete set. To avoid computational difficulties, the modified algorithm is defined by substituting the parameters of minimization procedure by their estimates.