Stochastic method for the solution of unconstrained vector optimization problems

  • Authors:
  • S. Schäffler;R. Schultz;K. Weinzierl

  • Affiliations:
  • -;Scientist Corporate Technology, Siemens AG, München, Germany;Engineer, Automation and Control, Siemens AG, Erlangen, Germany

  • Venue:
  • Journal of Optimization Theory and Applications
  • Year:
  • 2002

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Abstract

We propose a new stochastic algorithm for the solution of unconstrained vector optimization problems, which is based on a special class of stochastic differential equations. An efficient algorithm for the numerical solution of the stochastic differential equation is developed. Interesting properties of the algorithm enable the treatment of problems with a large number of variables. Numerical results are given.