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A Stochastic Algorithm for Constrained Global Optimization

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Abstract

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.

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Authors and Affiliations

  1. Istituto di Matematica e Statistica, Facolta di Economia, Universita degli Studi di Ancona, Piazzale Martelli, 60100, Ancona, Italy

    M.C. Recchioni

  2. Istituto di Matematica e Statistica, Facolta di Economia, Universita degli Studi di Ancona, Piazzale Martelli, 60100, Italy

    A. Scoccia

Authors
  1. M.C. Recchioni
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  2. A. Scoccia
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Recchioni, M., Scoccia, A. A Stochastic Algorithm for Constrained Global Optimization. Journal of Global Optimization 16, 257–270 (2000). https://doi.org/10.1023/A:1008357925133

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  • DOI: https://doi.org/10.1023/A:1008357925133

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