A Laplace-inspired importance sampling scheme for averaging random search points achieves error of order n to the power -2/(d+2) after n evaluations, improving on the n to the power -1/d rate of standard random search for d greater than 2.
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Importance Sampling Optimization with Laplace Principle
A Laplace-inspired importance sampling scheme for averaging random search points achieves error of order n to the power -2/(d+2) after n evaluations, improving on the n to the power -1/d rate of standard random search for d greater than 2.