Iterative MC-algorithm to solve the global optimization problems

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• 作者：A. Yu. Popkov ; B. S. Darkhovsky ; Yu. S. Popkov
• 关键词：global optimization ; batch Monte Carlo iterations ; Hölder constants
• 刊名：Automation and Remote Control
• 出版年：2017
• 出版时间：February 2017
• 年：2017
• 卷：78
• 期：2
• 页码：261-275
• 全文大小：
• 刊物类别：Mathematics and Statistics
• 刊物主题：Calculus of Variations and Optimal Control; Optimization; Systems Theory, Control; Control, Robotics, Mechatronics; Mechanical Engineering; Computer-Aided Engineering (CAD, CAE) and Design;
• 出版者：Pleiades Publishing
• ISSN：1608-3032
• 卷排序：78

文摘

A new method was proposed to solve the global minimization problems of the Hölder functions on compact sets obeying continuous functions. The method relies on the Monte Carlo batch processing intended for constructing the sequences of values of the “quasi-global” minima and their decrements. A numerical procedure was proposed to generate a probabilistic stopping rule whose operability was corroborated by numerous tests and benchmarks with algorithmically defined functions.