Stochastic filter methods for generally constrained global optimization

Type of content
Journal Article
Thesis discipline
Degree name
Publisher
University of Canterbury. Mathematics and Statistics
Journal Title
Journal ISSN
Volume Title
Language
Date
2016
Authors
Price, C.J.
Reale, M.
Robertson, B.L.
Abstract

A lter based template for bound and otherwise constrained global op- timization of non-smooth black-box functions is presented. The constraints must include nite upper and lower bounds, and can include nonlinear equality and inequality constraints. Almost sure convergence is shown for a wide class of al- gorithms conforming to this template. An existing method for bound constrained global optimization (oscars) is easily modi ed to conform to this template. Nu- merical results show the modi ed oscars is competitive with other methods on test problems including those listed by Koziel and Michalewicz.

Description
Citation
Price, C.J., Reale, M., Robertson, B.L. (2016) Stochastic filter methods for generally constrained global optimization. Journal of Global Optimization, (Early access online).
Keywords
filter, ARS, OSCARS, direct search, bound and otherwise constrained global optimization
Ngā upoko tukutuku/Māori subject headings
ANZSRC fields of research
Fields of Research::49 - Mathematical sciences::4903 - Numerical and computational mathematics::490304 - Optimisation
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