JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS: VoL 39, No.

2, FEBRUARY 1983

Expected Number of Steps of a Random

Optimization Method
C. C. Y. D O R E A 2

Communicated by D. P. Bertsekas

Abstract. In this paper, we give an estimate of the expected number

of steps of Matya's random optimization method applied to the con-
strained nonlinear minimization problem. It is also shown that, in a
sense, this random optimization method can be optimized by the
uniform distribution, in which case the exact value of the expected
number of steps is computed.

Key Words. Random optimization methods, stopping time, almost

sure convergence, uniform distribution, expected value.

1. Introduction

Since our results are self-contained, for completeness we shall borrow

from Ref. 1 the statements of Problem (A) and Method (B).

Problem (A). Minimize f(x), x s R ~, subject to gi(x)<_O, i =

1 . . . . , m, where f ( x ) and &(x), i = 1 . . . . . m, are real-valued continuous
functions. R " is the n-dimensional Euclidean space. O u r p r o b l e m is to find
the global m i n i m u m f(~), that is,

f ( £ ) <-fix), for all x ~ X, (1)

where
X={x:gi(x)<-0, i=l,...,m}.
It is assumed that there exists some positive n u m b e r r, such that

fixIt---r, for all x ~ X, (2)

where tl' ]l is the usual Euclidean norm.

1 This work was partially supported by the National Research Council of Brazil, Grant No.
CNPq-200.607/82.
2 Associate Professor, D e p a r t m e n t of Mathematics, Universidade de Brasilia, Brasilia, BrasiL
Currently visiting Iowa State University, A m e s , Iowa.
165
0022-3239/83/0200-0165503,00/0O I983 Plenum PubIishingCorporation
166 JOTA: VOL. 39, NO. 2, FEBRUARY 1983

In the random optimization method below, we shall use the uniform

distribution on X, that is, random vectors whose probability density u ( . )
is given by
u(x)=l/m(X), ifx ~X, (3)
u (x) = O, otherwise,

where m ( . ) denotes the Lebesgue measure on R ~. We shall assume that

m ( X ) > 0. Notice that, from assumption (2), we have
m(X)<m{x: Itxll<-r}<oo. (4)
Method (B) below is just a reformulation of Baba's Method (B).

Method (B). Let the random vectors X (~, X (2). . . . be defined as

follows:
Step 1. X(I~ = ~(o~,where ~(o) is uniformly distributed over X.
Step k + 1. Having chosen X (k~, let X (k+l~ be defined by
(al) X (k+l~=X(k~+~ ~k~,if (X~k~+~(k~)eX
and f(X(k~ + ~(k~)<f(X(k~),
(a2) X(~+I~=X ~, otherwise,
where ~(~), k-> 1, is such that the conditional density of X(g~+~ ¢~, given
X (~) = x, is
qx'~,+e,~,lx,~,(ylx) = q ( y - x ) , y ~ R ~, (5)
and q (x) is a density function for which there exists some positive number
0 and q(x)>O for all ttx[t<d, if d is a finite positive number.
Finally, consider Method (C) below.

Method (C). Let the random vectors y~a), y~Z). . . . be defined by

Step 1. y¢1) = r/co), where ~ co) is uniformly distributed over X.
Step k + 1. Having chosen y(k), let y(k+~) be defined by
(al) y(k+l)= y(k)+~7(k) ,iff(Y(k)+r/(k))<f(Y(k)),
(a2) y(k+l~= y(k), otherwise,
where the conditional density of r/(k~, given y(k~, is uniform on X - x , that
is,
u,,~tv,k,(y Ix) = 1~re(X), if y e X - x ,
(6)
u ,~k~tv~ (y I x) = 0, otherwise.
Notice that the density u does not satisfy the conditions of Method
(B). In Section 2, motivations for Method (C) will be provided.
 JOTA: VOL. 39, NO. 2, FEBRUARY [983 167

2. Statement of Results

Assume that there exists £ such that

f(£) = min f(x). (7)
x~:X

Given e > 0 let

R~ = {x : x s X and if(x) - f ( £ ) i < e }. (8)
Define the stopping times (see Ref. 2 for a complete treatment) zq and T.
by
rq = min{k : X(k)~ R~},
(9)
r , = min{k : y(k) ~ R~}.
That is, ~-q and ~-, represent the minimum number of steps required to reach
the region R~, and hence the value f(£) i % where 0 < y < e.

Theorem 2.1. Let X (t), X (2). . . . be defined by Method (B); and let

fl,~=m(R~) inf q(y-x),

y~R~

fiu=m(R~) sup q(y-x), (10)

yERe
x6:X--R~

L,n = m ( R ~ ) / m ( X ) + [ m ( X -R~)/m(X)][3~/(1 --flM)](1/fl~ -- 1),

LM = m(R~)/m(X)+[m(X-R~)/m(X)][flM/(1 - f l ~ ) ] ( 1 / 3 ~ - 1).
Then,

lira P(X~") ~R~)= 1, (11)

n --->oo

Lm <- E';'q ~ L M , (12)

where Erq denotes the expected value of ~-q.

Theorem 2.2. Let y{1), y(2) . . . . be defined by Method (C). Then,

lim P(Y("~ eR~)= 1, (13)

n~co

l~m f(Y~))=d(;), almost surely, (14)

n-~oo

Er, = m(X)/m(R~), (15)

168 JOTA: VOU 39, NO. 2, FEBRUARY 1983

Remark 2.1. From our assumption on the density q, it is clear that

0 < ¢/,~ ~ tiM. Also, since f is continuous, we have that m (R~)> O.

R e m a r k 2.2. Baba has shown that

lim P(X~"~ ~ A ) = 1,
~ --> o o

where
A ={x:llx-x[l<6, x 6XICR~;
see Ref. 1, p. 455, for details. By using the arguments of T h e o r e m 2.1, we
can also estimate the expected value of
r~ = min{k: X (k) ~ A},
and this would give us the expected number of steps necessary to reach
the values f ( £ ) + e and B + 6 ' , where 116't[<6. The problem is that 6 is
unknown and B is not unique. Moreover, since our interest is the value of
f(£), this would imply unnecessary steps.

Remark 2.3. Now, Lm = LM, if •m = ~M and Bm=/3M, if the distribu-

tion q restricted on f} = {x: Itxtl-< 2r} is the uniform distribution; that is, for

P(ft) = I q(x) dx,

we have
q(x)=P(f~)/m(f~), for x ~ ft.

This was our motivation for introducing Method (C).

Theorem 2.3. A m o n g the distributions q that satisfy method (B), q,

minimizes L~, where qu is a distribution that, restricted on f}, is the uniform
distribution. Moreover, E~-u <E~'q~; that is, in this sense, Method (B) is
optimized by Method (C).

3. Proof of Results

Proof of T h e o r e m 2.1. (a) First we will show (12). Since X ~1) is

uniformly distributed on X, we have
P(zq = 1) = P(X (1~~ Re) = rn (R~)/m (X); (16)
 JOTA: VOL. 39, NO, 2, FEBRUARY 1983 169

and, for k -> 2, we have

{3mP(X(k-1)~X-R~)<_P('rq =k)<_fi~P(X(k-1)~X-R~), (17)
since
P('rq = k )P(X (k) E R~, X (k-l) a X - R . . . . . , X (1)~ X - R~)

=P(X(k)ERe'X(k-1)CX-Re)=IxfR --Re e
q(y-x)dydfx(k-l)(X)'

where Fx~-l) is the cumulative distribution of X (k-l~. On the other hand,

P ( X (1)~ X - R , ) = m ( X - R ~ ) / m (X); (18)
and, for i >- 2,
P ( X (i) E X - R ~ I X (i-1) E X - R~) P(x(i-I) ~ X - R e ) - P ( 7 " q = i)
= p(x(i-,)EX_R~) ,
so that
1 --flU < - P ( X ( i ) s X - R ~ ] x ( i - 1 ) E X - R E ) ~ 1 --tim.
Therefore, for k -> 2,
[m (X - R ~ ) / m (32)](1 - flu) k-1 ~P(X(k) ~ X - R ~ )

< - [ m ( X - R ~ ) / m ( X ) ] ( 1 - f i m ) k-1. (19)

From (17) and (19), it follows that, for k -> 2,
fl,~[m 02 - R~) /m (X)](1 - tiM) k-: <-~P(rq = k)

¢JM[m (X - R~)/m (X)](1 -tim) k-:.

(20)
Finally, by (16) and (20), we obtain (12), since

E'rq = ~ kP(7"q= k ) .
k~l
(b) To prove (11), we have from (19)
P(X(") ~ R~) >- 1 - [ m (X - R ~ ) / m (X)](1 -/3~) ~-1,
so that (11) follows immediately. D

Proof of Theorem 2.2. To prove (13), let

p~=m(R~)/m(X) and q~=l-p~;
then, we have
P(Y(I)6R~)=p~ and P(Y(1)~X-R~)=q~; (21)
170 JOTA: VOL. 39, NO, 2, FEBRUARY 1983

and, for k ~ 2,

P(Y(k~R~' Y(k-1)eX-R~)=fx fR {[1/m(X)][1/m(X)]}dxdy

=p~p(y(k-I) ~ X - R ~ ) ,
p( y(k~ e R,) = p( y(k-n ~ R~) + p~p( y(k-1) e X - R,),
so that

P(Y('~) ~ R , ) = ~ p,q~k-a ,
k=l

f r o m which (13) follows.

To show (14), notice that, given e > 0, for
An = ([f(Y°°)-f(.~)[ ""('~ e R , } ,
< ~}.='Lr (22)
we have

lim P(A,~ for n - > m ) = 0 ,

n-~co

since A~ C A2 C • • •, and this implies

lim f(Y('~) = f(£),

n ,.-~ o o

with probability one.

Finally, we have
PO'~ = k ) =P(Y(k~ ~R~, Y(J) e X - R ~ , j = 1. . . . . k - 1 ) ___p~q~-l, (23)
and

E'cu = ~ kP(ru = k) = lIPs. 73

k=l

P r o o f of T h e o r e m 2.3. Consider the function

g(x, y ) = [ y / ( 1 - x ) ] ( 1 / x 2 - 1 ) , 0 < x <-y < 1 . (24)
For a fixed x, g(x, y) is minimized by taking y = x. Similarly, for a fixed y,
g(x, y) is minimized by taking x = y. Hence, LM is minimized by taking
tim = tiM, that is, by taking a distribution qu. F r o m R e m a r k 2.3, we have
q~,(x)=a/m(f~), forx eft,
where 0 < a < 1. Moreover,
fir, ~ flz~ = am (R~)/rn (f~).
 JOTA: VOL. 39, NO. 2, FEBRUARY 1983 171

By (12), we have
E%~ ~- m (R,)/m (X) + [m ( X - R , ) / m (X)][(m (f~) + ~m (R~))/c~m (R,)]
-> (1/a)[rn ( X ) / m (Re) - 1] + 1 >_m (X)/rn (R,) = Eru.
Notice that
m(X)/m(R~)>-I and 0<oz<l.
In the extreme case when R~ = f~ = X , we have equality. []

References

1. BABA, N., Convergence of a Random Optimization Method for Constrained

Optimization Problems, Journal of Optimization Theory and Applications, Vol.
33, pp. 451-461, 1981.
2. DOOB, J. L., Stochastic Process, John Wiley and Sons, New York, New York,
1953.
3. MATYAS, J., Random Optimization, Automation and Remote Control, Vol.
26, pp. 246-253, 1965.