IDEAS home Printed from https://ideas.repec.org/a/bpj/mcmeap/v15y2009i2p135-144n3.html
   My bibliography  Save this article

On importance sampling in the problem of global optimization

Author

Listed:
  • Missov Trifon I.

    (Department of Stochastic Simulation, Saint Petersburg State University, and Max Planck Institute for Demographic Research, Germany. Email: Missov@demogr.mpg.de)

  • Ermakov Sergey M.

    (Head of the Department of Stochastic Simulation, Saint Petersburg State University, Russia. Email: Sergej.Ermakov@gmail.com)

Abstract

Importance sampling is a standard variance reduction tool in Monte Carlo integral evaluation. It postulates estimating the integrand just in the areas where it takes big values. It turns out this idea can be also applied to multivariate optimization problems if the objective function is non-negative. We can normalize it to a density function, and if we are able to simulate the resulting p.d.f., we can assess the maximum of the objective function from the respective sample.

Suggested Citation

  • Missov Trifon I. & Ermakov Sergey M., 2009. "On importance sampling in the problem of global optimization," Monte Carlo Methods and Applications, De Gruyter, vol. 15(2), pages 135-144, January.
    • Handle: RePEc:bpj:mcmeap:v:15:y:2009:i:2:p:135-144:n:3
    DOI: 10.1515/MCMA.2009.007
    as

    Download full text from publisher

    File URL: https://doi.org/10.1515/MCMA.2009.007
    Download Restriction: For access to full text, subscription to the journal or payment for the individual article is required.
    File URL: https://libkey.io/10.1515/MCMA.2009.007?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bpj:mcmeap:v:15:y:2009:i:2:p:135-144:n:3. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Peter Golla (email available below). General contact details of provider: https://www.degruyter.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.