On the minimum of a conditioned Brownian bridge

Published 18 Nov 2015 in math.OC and math.PR | (1511.05735v2)

Abstract: We study the law of the minimum of a Brownian bridge, conditioned to take specific values at specific points, and the law of the location of the minimum. They are used to compare some non-adaptive optimisation algorithms for black-box functions for which the Brownian bridge is an appropriate probabilistic model and only a few points can be sampled.

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