Stochastic method for the solution of unconstrained vector optimization problems

We propose a new stochastic algorithm for the solution of unconstrained vector optimization problems, which is based on a special class of stochastic differential equations. An efficient algorithm for the numerical solution of the stochastic differential equation is developed. Interesting properties...

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Bibliographic Details
Published in:Journal of optimization theory and applications 2002-07, Vol.114 (1), p.209-222
Main Authors: SCHÄFFLER, S, SCHULTZ, R, WEINZIERL, K
Format: Article
Language:English
Subjects:
Algorithms
Applied sciences
Exact sciences and technology
Mathematical functions
Mathematical programming
Neighborhoods
Operational research and scientific management
Operational research. Management science
Optimization
Pareto optimum
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Summary:We propose a new stochastic algorithm for the solution of unconstrained vector optimization problems, which is based on a special class of stochastic differential equations. An efficient algorithm for the numerical solution of the stochastic differential equation is developed. Interesting properties of the algorithm enable the treatment of problems with a large number of variables. Numerical results are given.
ISSN:0022-3239
1573-2878
DOI:10.1023/A:1015472306888