A New Version of the Price‘s Algorithm for Global Optimization

  • Authors:
  • P. Brachetti;M. De Felice Ciccoli;G. Di Pillo;S. Lucidi

  • Affiliations:
  • Dipartimento di Informatica e Sistemistica, Università/ di Roma ’/’/La Sapienza‘/‘/, via Buonarroti 12, 00185 Roma, Italy/ and Gruppo Nazionale per l‘/Analisi Funziona ...;Dipartimento di Informatica e Sistemistica, Università/ di Roma ’/’/La Sapienza‘/‘/, via Buonarroti 12, 00185 Roma, Italy/ and Gruppo Nazionale per l‘/Analisi Funziona ...;Dipartimento di Informatica e Sistemistica, Università/ di Roma ’/’/La Sapienza‘/‘/, via Buonarroti 12, 00185 Roma, Italy/ and Gruppo Nazionale per l‘/Analisi Funziona ...;Dipartimento di Informatica e Sistemistica, Università/ di Roma ’/’/La Sapienza‘/‘/, via Buonarroti 12, 00185 Roma, Italy/ and Gruppo Nazionale per l‘/Analisi Funziona ...

  • Venue:
  • Journal of Global Optimization
  • Year:
  • 1997

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Abstract

We present an algorithm for finding a global minimum of a multimodal,multivariate function whose evaluation is very expensive, affected by noise andwhose derivatives are not available. The proposed algorithm is a new version ofthe well known Price‘s algorithm and its distinguishing feature is that ittries to employ as much as possible the information about the objectivefunction obtained at previous iterates. The algorithm has been tested on alarge set of standard test problems and it has shown a satisfactorycomputational behaviour. The proposed algorithm has been used to solveefficiently some difficult optimization problems deriving from the study ofeclipsing binary star light curves.