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Global optimization and stochastic differential equations (1985)

Aluffi-Pentini, F. ; Parisi, V. ; Zirilli, F.

Springer

Journal of optimization theory and applications 47 (1985), S. 1-16

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ISSN: 1573-2878

Keywords: Global optimization ; stochastic differential equations

Source: Springer Online Journal Archives 1860-2000

Topics: Mathematics

Notes: Abstract Let ℝ n be then-dimensional real Euclidean space,x=(x 1,x 2, ...,x n)T ∈ ℝ n , and letf:ℝ n → R be a real-valued function. We consider the problem of finding the global minimizers off. A new method to compute numerically the global minimizers by following the paths of a system of stochastic differential equations is proposed. This method is motivated by quantum mechanics. Some numerical experience on a set of test problems is presented. The method compares favorably with other existing methods for global optimization.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1007/BF00941312

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