A survey of Monte Carlo methods for parameter estimation
Statistical signal processing applications usually require the estimation of some parameters
of interest given a set of observed data. These estimates are typically obtained either by …
of interest given a set of observed data. These estimates are typically obtained either by …
Random walks in a convex body and an improved volume algorithm
L Lovász, M Simonovits - Random structures & algorithms, 1993 - Wiley Online Library
We give a randomized algorithm using O (n7 log2 n) separation calls to approximate the
volume of a convex body with a fixed relative error. The bound is O (n6 log4 n) for centrally …
volume of a convex body with a fixed relative error. The bound is O (n6 log4 n) for centrally …
Convergence theorems for a class of simulated annealing algorithms on ℝd
CJP Bélisle - Journal of Applied Probability, 1992 - cambridge.org
We study a class of simulated annealing algorithms for global minimization of a continuous
function defined on a subset of We consider the case where the selection Markov kernel is …
function defined on a subset of We consider the case where the selection Markov kernel is …
Hit-and-run mixes fast
L Lovász - Mathematical programming, 1999 - Springer
It is shown that the “hit-and-run” algorithm for sampling from a convex body K (introduced by
RL Smith) mixes in time O*(n 2 R 2/r 2), where R and r are the radii of the inscribed and …
RL Smith) mixes in time O*(n 2 R 2/r 2), where R and r are the radii of the inscribed and …
[图书][B] Feasibility and Infeasibility in Optimization:: Algorithms and Computational Methods
JW Chinneck - 2007 - books.google.com
Constrained optimization models are core tools in business, science, government, and the
military with applications including airline scheduling, control of petroleum refining …
military with applications including airline scheduling, control of petroleum refining …
Hit-and-run algorithms for generating multivariate distributions
CJP Bélisle, HE Romeijn… - … of Operations Research, 1993 - pubsonline.informs.org
We introduce a general class of Hit-and-Run algorithms for generating essentially arbitrary
absolutely continuous distributions on R d. They include the Hypersphere Directions …
absolutely continuous distributions on R d. They include the Hypersphere Directions …
[图书][B] Stochastic adaptive search for global optimization
ZB Zabinsky - 2013 - books.google.com
The field of global optimization has been developing at a rapid pace. There is a journal
devoted to the topic, as well as many publications and notable books discussing various …
devoted to the topic, as well as many publications and notable books discussing various …
Simulated annealing for constrained global optimization
HE Romeijn, RL Smith - Journal of Global Optimization, 1994 - Springer
Hide-and-Seek is a powerful yet simple and easily implemented continuous simulated
annealing algorithm for finding the maximum of a continuous function over an arbitrary …
annealing algorithm for finding the maximum of a continuous function over an arbitrary …
[PDF][PDF] Geometric random walks: a survey
S Vempala - Combinatorial and computational geometry, 2005 - faculty.cc.gatech.edu
The developing theory of geometric random walks is outlined here. Three aspects—general
methods for estimating convergence (the “mixing” rate), isoperimetric inequalities in Rn and …
methods for estimating convergence (the “mixing” rate), isoperimetric inequalities in Rn and …
Direction choice for accelerated convergence in hit-and-run sampling
DE Kaufman, RL Smith - Operations Research, 1998 - pubsonline.informs.org
Hit-and-Run algorithms are Monte Carlo procedures for generating points that are
asymptotically distributed according to general absolutely continuous target distributions G …
asymptotically distributed according to general absolutely continuous target distributions G …