Open AccessOn the convergence rate of the quasi – Monte Carlo method of search for extremum
Author(s) -
А. С. Тихомиров
Publication year - 2019
Publication title -
journal of physics. conference series
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.21
H-Index - 85
eISSN - 1742-6596
pISSN - 1742-6588
DOI - 10.1088/1742-6596/1352/1/012051
Subject(s) - monte carlo method , rate of convergence , convergence (economics) , quasi monte carlo method , mathematics , function (biology) , invertible matrix , zero (linguistics) , mathematical optimization , hybrid monte carlo , statistical physics , markov chain monte carlo , computer science , physics , statistics , economics , computer network , channel (broadcasting) , linguistics , philosophy , evolutionary biology , pure mathematics , biology , economic growth
The convergence rate of the quasi – Monte Carlo method of search for extremum is examined. It is shown that, if the objective function is nonsingular, then the number of its evaluations required to obtain the desired accuracy ε in the solution can be a slowly (namely, logarithmically) growing function as ε approaches zero.