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Controlled Random Search Under Uncertainty

In: Optimization Under Stochastic Uncertainty

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  • Kurt Marti

    (University of Bundeswehr Munich)

Abstract

In order to increase the rate of convergence Convergence rate of the basic search method ( 6.2a ), according to Sect. 6.3 we consider the following procedure (Marti, Math Meth Oper Res 36:223–234 (1979); Marti, ZAMM 60:357–359 (1980); Marti, Controlled Random Search Procedures For Global Optimization. Lecture Notes in Control and Information Sciences, vol. 81, pp. 457–474. Springer, Berlin (1986)). Based on the basic random search method ( 6.2a ), by means of the definitions (I)–(III) we describe first an (infinite-stage) sequential stochastic decision process associated with ( 6.2a ).

Suggested Citation

  • Kurt Marti, 2020. "Controlled Random Search Under Uncertainty," International Series in Operations Research & Management Science, in: Optimization Under Stochastic Uncertainty, chapter 0, pages 139-150, Springer.
    • Handle: RePEc:spr:isochp:978-3-030-55662-4_7
    DOI: 10.1007/978-3-030-55662-4_7
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