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Some Variants of the Controlled Random Search Algorithm for Global Optimization

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  • P. Kaelo

    (Witwatersrand University)

  • M. M. Ali

    (Witwatersrand University)

Abstract

We suggested some modifications to the controlled random search (CRS) algorithm for global optimization. We introduce new trial point generation schemes in CRS, in particular, point generation schemes using linear interpolation and mutation. Central to our modifications is the probabilistic adaptation of point generation schemes within the CRS algorithm. A numerical study is carried out using a set of 50 test problems many of which are inspired by practical applications. Numerical experiments indicate that the resulting algorithms are considerably better than the previous versions. Thus, they offer a reasonable alternative to many currently available stochastic algorithms, especially for problems requiring direct search type methods.

Suggested Citation

  • P. Kaelo & M. M. Ali, 2006. "Some Variants of the Controlled Random Search Algorithm for Global Optimization," Journal of Optimization Theory and Applications, Springer, vol. 130(2), pages 253-264, August.
    • Handle: RePEc:spr:joptap:v:130:y:2006:i:2:d:10.1007_s10957-006-9101-0
    DOI: 10.1007/s10957-006-9101-0
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    References listed on IDEAS

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    1. M. M. Ali & C. Storey & A. Törn, 1997. "Application of Stochastic Global Optimization Algorithms to Practical Problems," Journal of Optimization Theory and Applications, Springer, vol. 95(3), pages 545-563, December.
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    Cited by:

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    5. Gouvêa, Érica J.C. & Regis, Rommel G. & Soterroni, Aline C. & Scarabello, Marluce C. & Ramos, Fernando M., 2016. "Global optimization using q-gradients," European Journal of Operational Research, Elsevier, vol. 251(3), pages 727-738.
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    7. Belssing Taruvinga, 2019. "Solving Selected Problems on American Option Pricing with the Method of Lines," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2019.
    8. Mullen, Katharine M., 2014. "Continuous Global Optimization in R," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 60(i06).
    9. Boda Kang & Christina Nikitopoulos Sklibosios & Erik Schlogl & Blessing Taruvinga, 2019. "The Impact of Jumps on American Option Pricing: The S&P 100 Options Case," Research Paper Series 397, Quantitative Finance Research Centre, University of Technology, Sydney.
    10. Antoine Arnoud & Fatih Guvenen & Tatjana Kleineberg, 2019. "Benchmarking Global Optimizers," NBER Working Papers 26340, National Bureau of Economic Research, Inc.

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