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1998

Stopping Criterion for a Simulation-Based Optimization Method

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Stopping Criterion for a Simulation-Based Optimization Method
We consider a new simulation-based optimization method called the Nested Partitions (NP) method. This method generates a Markov chain and solving the optimization problem is equivalent to maximizing the stationary distribution of this Markov chain over certain states. The method may therefore be considered a Monte Carlo sampler that samples from the stationary distribution. We show that the Markov chain converges geometrically fast to the true stationary distribution, and use these results to derive a stopping criterion for the method.
Sigurdur Ólafsson, Leyuan Shi
Added 01 Nov 2010
Updated 01 Nov 2010
Type Conference
Year 1998
Where WSC
Authors Sigurdur Ólafsson, Leyuan Shi
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