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A Monte Carlo approach for controlled search

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  • Albeanu, Grigore

Abstract

We outline a new Monte Carlo approach for solving minimization problems. A splitting procedure, which is a controlled random search with domain reduction, is presented. Algorithms and numerical results are also included.

Suggested Citation

  • Albeanu, Grigore, 1997. "A Monte Carlo approach for controlled search," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 43(2), pages 223-228.
    • Handle: RePEc:eee:matcom:v:43:y:1997:i:2:p:223-228
    DOI: 10.1016/S0378-4754(96)00069-9
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    References listed on IDEAS

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    1. Lau, H.T., 1988. "On solving systems of nonlinear equations by simulation," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 30(3), pages 253-256.
    2. Francisco J. Solis & Roger J.-B. Wets, 1981. "Minimization by Random Search Techniques," Mathematics of Operations Research, INFORMS, vol. 6(1), pages 19-30, February.
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    Keywords

    Monte Carlo; Controlled random search;

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