On importance sampling in the problem of global optimization

DOI10.1515/MCMA.2009.007zbMath1173.65002OpenAlexW1993820067WikidataQ58285240 ScholiaQ58285240MaRDI QIDQ3182211

Trifon I. Missov, Sergeĭ Mikhaĭlovich Ermakov

Publication date: 7 October 2009

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma.2009.007

zbMATH Keywords

global optimizationimportance samplingvariance reduction\(D\)-optimal designsmultivariate optimization\(\Delta^{2}\)-distributionMonte Carlo integral evaluation

Mathematics Subject Classification ID

Optimal statistical designs (62K05) Monte Carlo methods (65C05) Stochastic programming (90C15)

Cites Work

• An implementation of the method of Ermakov and Zolotukhin for multidimensional integration and interpolation
• Lattice-based \(D\)-optimum design for Fourier regression
• Optimum Designs in Regression Problems
• Integral Evaluation Using the Δ2-distribution. Simulation and Illustration
• The Sequential Generation of $D$-Optimum Experimental Designs

This page was built for publication: On importance sampling in the problem of global optimization