Optimal and sub-optimal stopping rules for the Multistart algorithm in global optimization
Mathematical Programming: Series A and B
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Journal of Global Optimization
Journal of Global Optimization
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Journal of Global Optimization
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Journal of Global Optimization
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In this paper Bayesian analysis and Wiener process are used in orderto build an algorithm to solve the problem of globaloptimization.The paper is divided in two main parts.In the first part an already known algorithm is considered: a new (Bayesian)stopping ruleis added to it and some results are given, such asan upper bound for the number of iterations under the new stopping rule.In the second part a new algorithm is introduced in which the Bayesianapproach is exploited not onlyin the choice of the Wiener model but also in the estimationof the parameter \sigma^2 of the Wiener process, whose value appears to bequite crucial.Some results about this algorithm are also given.