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Basin Hopping with synched multi L-BFGS local searches. Parallel implementation in multi-CPU and GPUs

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  • Ferreiro-Ferreiro, Ana M.
  • García-Rodríguez, José A.
  • Souto, Luis
  • Vázquez, Carlos

Abstract

In this work, a technique for improving the convergence properties (speed and reliability) of a non monotonic Basin Hopping algorithm is presented. This modification of Basin Hopping happens to be highly parallelizable and therefore the parallel implementation is shown both for multi-CPU and GPU architectures. A benchmark of classical global optimization tests is run, focussing in a number of tests in the literature that result to be particularly hard for Basin Hopping.

Suggested Citation

  • Ferreiro-Ferreiro, Ana M. & García-Rodríguez, José A. & Souto, Luis & Vázquez, Carlos, 2019. "Basin Hopping with synched multi L-BFGS local searches. Parallel implementation in multi-CPU and GPUs," Applied Mathematics and Computation, Elsevier, vol. 356(C), pages 282-298.
    • Handle: RePEc:eee:apmaco:v:356:y:2019:i:c:p:282-298
    DOI: 10.1016/j.amc.2019.02.040
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    References listed on IDEAS

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    1. Konstantin Barkalov & Victor Gergel, 2016. "Parallel global optimization on GPU," Journal of Global Optimization, Springer, vol. 66(1), pages 3-20, September.
    2. Goffe, William L. & Ferrier, Gary D. & Rogers, John, 1994. "Global optimization of statistical functions with simulated annealing," Journal of Econometrics, Elsevier, vol. 60(1-2), pages 65-99.
    3. A. Ferreiro & J. García & J. López-Salas & C. Vázquez, 2013. "An efficient implementation of parallel simulated annealing algorithm in GPUs," Journal of Global Optimization, Springer, vol. 57(3), pages 863-890, November.
    4. Weihang Zhu, 2011. "Massively parallel differential evolution—pattern search optimization with graphics hardware acceleration: an investigation on bound constrained optimization problems," Journal of Global Optimization, Springer, vol. 50(3), pages 417-437, July.
    5. Anatoly Zhigljavsky & Antanas Žilinskas, 2008. "Stochastic Global Optimization," Springer Optimization and Its Applications, Springer, number 978-0-387-74740-8, June.
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    Cited by:

    1. Ferreiro-Ferreiro, Ana María & García-Rodríguez, José A. & Souto, Luis & Vázquez, Carlos, 2020. "A new calibration of the Heston Stochastic Local Volatility Model and its parallel implementation on GPUs," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 177(C), pages 467-486.

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