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Stochastic filter methods for generally constrained global optimization

Author

Listed:
  • C. J. Price

    (University of Canterbury)

  • M. Reale

    (University of Canterbury)

  • B. L. Robertson

    (University of Canterbury)

Abstract

A filter based template for bound and otherwise constrained global optimization of non-smooth black-box functions is presented. The constraints must include finite upper and lower bounds, and can include nonlinear equality and inequality constraints. Almost sure convergence is shown for a wide class of algorithms conforming to this template. An existing method for bound constrained global optimization (oscars) is easily modified to conform to this template. Numerical results show the modified oscars is competitive with other methods on test problems including those listed by Koziel and Michalewicz.

Suggested Citation

  • C. J. Price & M. Reale & B. L. Robertson, 2016. "Stochastic filter methods for generally constrained global optimization," Journal of Global Optimization, Springer, vol. 65(3), pages 441-456, July.
    • Handle: RePEc:spr:jglopt:v:65:y:2016:i:3:d:10.1007_s10898-015-0388-y
    DOI: 10.1007/s10898-015-0388-y
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    References listed on IDEAS

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    1. Ana Rocha & M. Costa & Edite Fernandes, 2014. "A filter-based artificial fish swarm algorithm for constrained global optimization: theoretical and practical issues," Journal of Global Optimization, Springer, vol. 60(2), pages 239-263, October.
    2. Rommel Regis & Christine Shoemaker, 2005. "Constrained Global Optimization of Expensive Black Box Functions Using Radial Basis Functions," Journal of Global Optimization, Springer, vol. 31(1), pages 153-171, January.
    3. G. Di Pillo & S. Lucidi & F. Rinaldi, 2012. "An approach to constrained global optimization based on exact penalty functions," Journal of Global Optimization, Springer, vol. 54(2), pages 251-260, October.
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    Cited by:

    1. C. J. Price & M. Reale & B. L. Robertson, 2021. "Oscars-ii: an algorithm for bound constrained global optimization," Journal of Global Optimization, Springer, vol. 79(1), pages 39-57, January.
    2. M. Joseane F. G. Macêdo & Elizabeth W. Karas & M. Fernanda P. Costa & Ana Maria A. C. Rocha, 2020. "Filter-based stochastic algorithm for global optimization," Journal of Global Optimization, Springer, vol. 77(4), pages 777-805, August.
    3. M. Fernanda P. Costa & Ana Maria A. C. Rocha & Edite M. G. P. Fernandes, 2018. "Filter-based DIRECT method for constrained global optimization," Journal of Global Optimization, Springer, vol. 71(3), pages 517-536, July.

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