A Stochastic Convergence Result for the Nelder–Mead Simplex Method
نویسندگان
چکیده
We prove that the Nelder–Mead simplex method converges in sense vertices converge to a common limit point with probability of one. The result may explain practical usefulness method.
منابع مشابه
Convergence Analysis of a Splitting Method for Stochastic Differential Equations
(1) { dy(t) = f(y(t))dt + g(y(t))dW (t), 0 ≤ t ≤ T y(0) = y0 where T > 0 is the terminal time, y(t) : [0, T ]× Ω → R, f(y) : R → R, g(y) : R → Rm×d, and W (t) = (W1(t), · · · ,Wd(t))∗ is a standard d-dimensional Brownian motion defined on a complete, filtered probability space (Ω,F , P, {Ft}0≤t≤T ). Stochastic differential equations are used in many fields, such as stock market, financial mathe...
متن کاملA Note on the Convergence of the Homotopy Analysis Method for Nonlinear Age-Structured Population Models
In this paper, a theorem is proved which presents the series solution obtained from the homotopy analysis method is convergent to the exact solution of nonlinear age-structured population models.
متن کاملA Numerical Method for Solving Stochastic Volterra-Fredholm Integral Equation
In this paper, we propose a numerical method based on the generalized hat functions (GHFs) and improved hat functions (IHFs) to find numerical solutions for stochastic Volterra-Fredholm integral equation. To do so, all known and unknown functions are expanded in terms of basic functions and replaced in the original equation. The operational matrices of both basic functions are calculated and em...
متن کاملStochastic Perturbation of Sweeping Process and a Convergence Result for an Associated Numerical Scheme
— Here we present well-posedness results for first order stochastic differential inclusions, more precisely for sweeping process with a stochastic perturbation. These results are provided in combining both deterministic sweeping process theory (recently developed in [18] and [19]) and methods concerning the reflection of a Brownian motion ([23] and [31]). In addition, we prove convergence resul...
متن کاملan investigation about the appropriate stochastic modeling framework for agricultural insurance pricing
با توجه به اینکه بیمه محصولات کشاورزی در ایران بیشتر جنبه ای حمایتی دارد و خسارات گزارش شده عموما بیش از حق بیمه های دریافت شده است، در این پایان نامه به جهت تعیین قیمت بیمه محصولات کشاورزی (گندم دیم) از فرآیندهای نوفه شلیک به عنوان مدلی مناسب استفاده شده است. بر اساس داده های صندوق بیمه کشاورزی از خسارات اعلام شده در سال زراعی 1388-1389 گندم دیم، در این پایان نامه حق بیمه خالص و ناخالص این محص...
ذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematics
سال: 2023
ISSN: ['2227-7390']
DOI: https://doi.org/10.3390/math11091998