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JOURNALS // Doklady Rossijskoj Akademii Nauk. Mathematika, Informatika, Processy Upravlenia // Archive

Dokl. RAN. Math. Inf. Proc. Upr., 2020 Volume 492, Pages 20–23 (Mi danma65)

MATHEMATICS

Methods for estimating the global maximum point and the integral of a continuous function on a compact set

B. S. Darkhovsky

Federal Research Center Computer Science and Control of the Russian Academy of Sciences, Moscow, Russian Federation

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

DOI: 10.31857/S2686954320030054


 English version:
Doklady Mathematics, 2020, 101:3, 189–191

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