A Stochastic Algorithm for Constrained Global Optimization

Authors:
M. C. Recchioni;A. Scoccia
Affiliations:
Istituto di Matematica e Statistica, Facolta di Economia, Universita degli Studi di Ancona, Piazzale Martelli, 60100, Ancona Italy (e-mail : Recchioni@posta.econ.unian.it;Istituto di Matematica e Statistica, Facolta di Economia, Universita degli Studi di Ancona, Piazzale Martelli, 60100, Ancona Italy (e-mail : Scoccia@posta.econ.unian.it)
Venue:
Journal of Global Optimization
Year:
2000

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Abstract

We present a stochastic algorithm to solve numerically the problem of finding the global minimizers of a real valued function subject to lower and upper bounds. This algorithm looks for the global minimizers following the paths of a suitable system of stochastic differential equations. Numerical experience on several test problems known in literature is shown.