P-algorithm based on a simplicial statistical model of multimodal functions

Antanas Žilinskas ^[1] ; Julius Žilinskas ^[1]
1. [1] Institute of Mathematics and Informatics, Lituania
Localización: Top, ISSN-e 1863-8279, ISSN 1134-5764, Vol. 18, Nº. 2, 2010, págs. 396-412
Idioma: inglés
DOI: 10.1007/s11750-010-0153-9
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Resumen
- A well-recognized one-dimensional global optimization method is generalized to the multidimensional case. The generalization is based on a multidimensional statistical model of multimodal functions constructed by generalizing computationally favorable properties of a popular one-dimensional model—the Wiener process. A simplicial partition of a feasible region is essential for the construction of the model. The basic idea of the proposed method is to search where improvements of the objective function are most probable; a probability of improvement is evaluated with respect to the statistical model. Some results of computational experiments are presented.