Optimistic optimization of a Brownian

neural information processing systems, pp. 3009-3018, 2018.

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Keywords:
sample complexitybrownian motion

Abstract:

In this paper, we address the problem of optimizing a Brownian motion. More precisely, we consider a (random) realization W of a Brownian motion on [0,1]. Now, given this function, our goal is to return an ϵ-approximation of its maximum using the smallest possible number of function evaluations. This number is called sample complexity of ...More

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