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 On Optimization and Extreme Value Theory
Please use this identifier to cite or link to this item http://hdl.handle.net/10773/5642

title: On Optimization and Extreme Value Theory
authors: Hüsler, Jürg
Cruz, João Pedro Antunes Ferreira da
Hall, Andreia
Fonseca, Carlos
keywords: Optimizer
Extreme values
Random search
Evolution strategies
issue date: 2003
publisher: Springer Verlag
abstract: We present a statistical study of the distribution of the objective value of solutions (outcomes) obtained by stochastic optimizers. Our results are based on three optimization procedures: random search and two evolution strategies. We study the fit of the outcomes to an extreme value distribution, namely the Weibull distribution through parametric estimation. We discuss the interpretation of the parameters of the estimated extreme value distribution in the context of the optimization problem and suggest that they can be used to characterize the performance of the optimizer.
URI: http://hdl.handle.net/10773/5642
ISSN: 1387-5841
source: Methodology and Computing in Applied Probability
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