Global Optimization by Multilevel Coordinate Search

Authors:
Waltraud Huyer;Arnold Neumaier
Affiliations:
Institut für Mathematik, Universität Wien, Strudlhofgasse 4, A-1090 Wien, Austria huyer@cma.univie.ac.at;Institut für Mathematik, Universität Wien, Strudlhofgasse 4, A-1090 Wien, Austria neum@cma.univie.ac.at
Venue:
Journal of Global Optimization
Year:
1999

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Abstract

Inspired by a method by Jones et al. (1993), we present a global optimization algorithm based on multilevel coordinate search. It is guaranteed to converge if the function is continuous in the neighborhood of a global minimizer. By starting a local search from certain good points, an improved convergence result is obtained. We discuss implementation details and give some numerical results.