On the minimum of a conditioned Brownian bridge

Aureli Alabert, Ricard Caballero

Research output: Contribution to journalArticleResearchpeer-review

1 Citation (Scopus)

Abstract

© 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.
Original languageEnglish
Pages (from-to)269-291
JournalStochastic Models
Volume34
Issue number3
DOIs
Publication statusPublished - 3 Jul 2018

Keywords

  • Black-box optimization; Brownian bridge
  • simulation

Fingerprint

Dive into the research topics of 'On the minimum of a conditioned Brownian bridge'. Together they form a unique fingerprint.

Cite this