Implementation and testing of an algorithm for global optimizations with noise

Authors:
Antanas Žilinskas;Darius Kučinskas
Affiliations:
Vytautas Magnus University, Lithuania;Vytautas Magnus University, Lithuania
Venue:
CompSysTech '04 Proceedings of the 5th international conference on Computer systems and technologies
Year:
2004

Citing 2
Cited 0

Global Optimization with Non-Convex Constraints - Sequential and Parallel Algorithms (Nonconvex Optimization and its Applications Volume 45) (Nonconvex Optimization and Its Applications)

Global Optimization with Non-Convex Constraints - Sequential and Parallel Algorithms (Nonconvex Optimization and its Applications Volume 45) (Nonconvex Optimization and Its Applications)
Laguerre-type exponentials and generalized Appell polynomials

Computers & Mathematics with Applications

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Abstract

An implementation problem of an algorithm for one-dimensional global optimization in the presence of noise is considered. The approach is based on modelling the objective function as a standard Wiener process. The testing results of the implemented algorithm are presented using several well known test functions. The efficiency of the algorithm is evaluated for different levels of noise.