Multilocal programming: a derivative-free filter multistart algorithm

Authors:
Florbela P. Fernandes;M. Fernanda P. Costa;Edite M. G. P. Fernandes
Affiliations:
ESTiG, Polytechnic Institute of Bragança, Bragança, Portugal,Centre of Mathematics, University of Minho, Braga, Portugal;Department of Mathematics and Applications, University of Minho, Guimarães, Portugal,Centre of Mathematics, University of Minho, Braga, Portugal;Algoritmi R&D Centre, University of Minho, Braga, Portugal
Venue:
ICCSA'13 Proceedings of the 13th international conference on Computational Science and Its Applications - Volume 1
Year:
2013

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Abstract

Multilocal programming aims to locate all the local solutions of an optimization problem. A stochastic method based on a multistart strategy and a derivative-free filter local search for solving general constrained optimization problems is presented. The filter methodology is integrated into a coordinate search paradigm in order to generate a set of trial approximations that might be acceptable if they improve the constraint violation or the objective function value relative to the current one. Preliminary numerical experiments with a benchmark set of problems show the effectiveness of the proposed method.