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Multistart with early termination of descents

Author

Listed:
  • Antanas Žilinskas

    (Vilnius University)

  • Jonathan Gillard

    (Cardiff University)

  • Megan Scammell

    (Cardiff University)

  • Anatoly Zhigljavsky

    (Cardiff University)

Abstract

Multistart is a celebrated global optimization technique frequently applied in practice. In its pure form, multistart has low efficiency. However, the simplicity of multistart and multitude of possibilities of its generalization make it very attractive especially in high-dimensional problems where e.g. Lipschitzian and Bayesian algorithms are not applicable. We propose a version of multistart where most of the local descents are terminated very early; we will call it METOD as an abbreviation for multistart with early termination of descents. The performance of the proposed algorithm is demonstrated on randomly generated test functions with 100 variables and a modest number of local minimizers.

Suggested Citation

  • Antanas Žilinskas & Jonathan Gillard & Megan Scammell & Anatoly Zhigljavsky, 2021. "Multistart with early termination of descents," Journal of Global Optimization, Springer, vol. 79(2), pages 447-462, February.
    • Handle: RePEc:spr:jglopt:v:79:y:2021:i:2:d:10.1007_s10898-019-00814-w
    DOI: 10.1007/s10898-019-00814-w
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    References listed on IDEAS

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    1. R. Haycroft & L. Pronzato & H. P. Wynn & A. Zhigljavsky, 2009. "Studying Convergence of Gradient Algorithms Via Optimal Experimental Design Theory," Springer Optimization and Its Applications, in: Luc Pronzato & Anatoly Zhigljavsky (ed.), Optimal Design and Related Areas in Optimization and Statistics, chapter 2, pages 13-37, Springer.
    2. Anatoly Zhigljavsky & Antanas Žilinskas, 2008. "Stochastic Global Optimization," Springer Optimization and Its Applications, Springer, number 978-0-387-74740-8, September.
    3. Andrey Pepelyshev & Anatoly Zhigljavsky & Antanas Žilinskas, 2018. "Performance of global random search algorithms for large dimensions," Journal of Global Optimization, Springer, vol. 71(1), pages 57-71, May.
    4. James K. Hartman, 1973. "Some experiments in global optimization," Naval Research Logistics Quarterly, John Wiley & Sons, vol. 20(3), pages 569-576, September.
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