Abstract:
A new approach to the problems of estimating the global maximum point and the integral of a continuous function on a compact set is proposed. The approach combines a simple Monte Carlo method and the ideas of the Lebesgue theory of measure and integration. Quality estimates for the proposed methods are given.
Keywords:global optimization, multidimensional integration, Monte Carlo method.
UDC:519.2
Presented:A. N. Shiryaev Received: 18.12.2019 Revised: 24.03.2020 Accepted: 24.03.2020