A Stochastic Algorithm for Constrained Global Optimization

We present a stochastic algorithm to solve numerically the problem of finding the global minimizers of a real valued function subject to lower and upper bounds. This algorithm looks for the global minimizers following the paths of a suitable system of stochastic differential equations. Numerical exp...

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Bibliographic Details
Published in:Journal of global optimization 2000-03, Vol.16 (3), p.257
Main Authors: Recchioni, M C, Scoccia, A
Format: Article
Language:English
Subjects:
Algorithms
Euclidean space
Optimization
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Summary:We present a stochastic algorithm to solve numerically the problem of finding the global minimizers of a real valued function subject to lower and upper bounds. This algorithm looks for the global minimizers following the paths of a suitable system of stochastic differential equations. Numerical experience on several test problems known in literature is shown.
ISSN:0925-5001
1573-2916
DOI:10.1023/A:1008357925133