On the minimum of a conditioned Brownian bridge

Aureli Alabert; Ricard Caballero

doi:10.1080/15326349.2018.1465435

On the minimum of a conditioned Brownian bridge

Aureli Alabert, Ricard Caballero

Departament de Matemàtiques

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© 2018, © 2018 Taylor & Francis. We study the law of the minimum of a Brownian bridge, conditioned to take specific values at specific points, and the law of the location of the minimum. They are used to compare some nonadaptive optimization algorithms for black-box functions for which the Brownian bridge is an appropriate probabilistic model and only a few points can be sampled.

Idioma original	Anglès
Pàgines (de-a)	269-291
Revista	Stochastic Models
Volum	34
Número	3
DOIs	https://doi.org/10.1080/15326349.2018.1465435
Estat de la publicació	Publicada - 3 de jul. 2018

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10.1080/15326349.2018.1465435

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title = "On the minimum of a conditioned Brownian bridge",

abstract = "{\textcopyright} 2018, {\textcopyright} 2018 Taylor & Francis. We study the law of the minimum of a Brownian bridge, conditioned to take specific values at specific points, and the law of the location of the minimum. They are used to compare some nonadaptive optimization algorithms for black-box functions for which the Brownian bridge is an appropriate probabilistic model and only a few points can be sampled.",

keywords = "Black-box optimization; Brownian bridge, simulation",

author = "Aureli Alabert and Ricard Caballero",

year = "2018",

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AB - © 2018, © 2018 Taylor & Francis. We study the law of the minimum of a Brownian bridge, conditioned to take specific values at specific points, and the law of the location of the minimum. They are used to compare some nonadaptive optimization algorithms for black-box functions for which the Brownian bridge is an appropriate probabilistic model and only a few points can be sampled.

KW - Black-box optimization; Brownian bridge

KW - simulation

U2 - 10.1080/15326349.2018.1465435

DO - 10.1080/15326349.2018.1465435

M3 - Article

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VL - 34

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JO - Stochastic Models

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On the minimum of a conditioned Brownian bridge

Resum

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