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2007

Finite-sample performance guarantees for one-dimensional stochastic root finding

3 years 6 months ago
Finite-sample performance guarantees for one-dimensional stochastic root finding
We study the one-dimensional root finding problem for increasing convex functions. We give gradient-free algorithms for both exact and inexact (stochastic) function evaluations. For the stochastic case, we supply a probabilistic convergence guarantee in the spirit of selection-of-the-best methods. A worst-case bound on the work performed by the algorithm shows an improvement over na¨ıve stochastic bisection.
Samuel Ehrlichman, Shane G. Henderson
Added 02 Oct 2010
Updated 02 Oct 2010
Type Conference
Year 2007
Where WSC
Authors Samuel Ehrlichman, Shane G. Henderson
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