Theoretical and numerical study of the performance of 'Pincus' optimisation method
by Majed Chemkhi; Mohamed Jebalia; Azmi Makhlouf
International Journal of Mathematical Modelling and Numerical Optimisation (IJMMNO), Vol. 7, No. 3/4, 2016

Abstract: In this work, we are interested in the numerical and theoretical study of the so called 'Pincus algorithm', which is a stochastic optimisation method. It is based on a representation of the optimum as a limit of a ratio of two expectations, computed using a Monte Carlo approximation. First, we theoretically study the convergence of Pincus algorithm. Then, numerical computations are performed: we show the algorithm advantages and limits, in comparison with other methods in terms of robustness, speed and dependence on the dimension.

Online publication date: Mon, 30-Jan-2017

The full text of this article is only available to individual subscribers or to users at subscribing institutions.

 
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.

Pay per view:
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.

Complimentary Subscribers, Editors or Members of the Editorial Board of the International Journal of Mathematical Modelling and Numerical Optimisation (IJMMNO):
Login with your Inderscience username and password:

Username:        Password:          Forgotten your password?

Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.

If you still need assistance, please email subs@inderscience.com