R-SPLINE is a Retrospective-search algorithm that alternates between a continuous Search using Piecewise-Linear Interpolation and a discrete Neighborhood Enumeration to asymptotically identify a local minimum. R-SPLINE appears to be among the first few gradient-based search algorithms tailored for solving integer-ordered local SO problems. R-SPLINE's iterates converge almost-surely to the set of local minima and the probability of R-SPLINE returning a solution outside the set of true local minima decays exponentially in a certain precise sense.
- Integer-Ordered Simulation Optimization using R-SPLINE: Retrospective Search using Piecewise-Linear Interpolation and Neighborhood Enumeration Wang, H.; Pasupathy, R.; and Schmeiser, B. W. ACM TOMACS, 23(3). 2013.