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Teoriya Veroyatnostei i ee Primeneniya, 1974, Volume 19, Issue 4, Pages 817–824 (Mi tvp3981)  

This article is cited in 3 scientific papers (total in 3 papers)

Short Communications

On convergence of a random search method in convex minimization problems

V. G. Karmanov

M. V. Lomonosov Moscow State University
Abstract: In the present paper, the minimization problem is considered for a convex function $\varphi(x)$ on a convex and closed set $X$ of the $n$-dimensional Euclidean space $E_n$, and a method is proposed for constructing a recurrent sequence $x^0,x^1,\dots,\in X$ by the formula $x^{k+1}=x^k+\beta_ks^k$, where $s^k$ is a random vector, and $\beta_k$ is determined so as to minimize $\varphi(x)$ on the straight line $x^k+\beta s^k$ $(|\beta|<\infty)$.
Under sufficiently general assumptions, it is proved that
$$ \mathbf P\{\varphi(x^m)\to\min\varphi(x)\quad(x\in X,\quad m\to\infty)\}=1. $$
In case $X=E_n$, it is proved that
$$ \lim_{m\to\infty}\mathbf P\biggl\{\varphi(x^m)-\min\varphi(x)\le\frac cm\biggr\}=1, $$
where $c=\mathrm{const}>0$.
Received: 20.12.1973
English version:
Theory of Probability and its Applications, 1975, Volume 19, Issue 4, Pages 788–794
DOI: https://doi.org/10.1137/1119084
Bibliographic databases:
Document Type: Article
Language: Russian
Citation: V. G. Karmanov, “On convergence of a random search method in convex minimization problems”, Teor. Veroyatnost. i Primenen., 19:4 (1974), 817–824; Theory Probab. Appl., 19:4 (1975), 788–794
Citation in format AMSBIB
\Bibitem{Kar74}
\by V.~G.~Karmanov
\paper On convergence of a~random search method in convex minimization problems
\jour Teor. Veroyatnost. i Primenen.
\yr 1974
\vol 19
\issue 4
\pages 817--824
\mathnet{http://mi.mathnet.ru/tvp3981}
\mathscinet{http://mathscinet.ams.org/mathscinet-getitem?mr=384148}
\zmath{https://zbmath.org/?q=an:0316.90056}
\transl
\jour Theory Probab. Appl.
\yr 1975
\vol 19
\issue 4
\pages 788--794
\crossref{https://doi.org/10.1137/1119084}
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  • https://www.mathnet.ru/eng/tvp/v19/i4/p817
  • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
    Related articles in Google Scholar: Russian articles, English articles
    Теория вероятностей и ее применения Theory of Probability and its Applications
     
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