Some effective methods for unconstrained optimization based on the solution of systems of ordinary differential equations |
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Authors: | A A Brown M C Bartholomew-Biggs |
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Institution: | (1) Numerical Algorithms Group, Oxford, England;(2) School of Information Science, Hatfield Polytechnic, Hatfield, England |
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Abstract: | In this paper, we review briefly some methods for minimizing a functionF(x), which proceed by follwoing the solution curve of a system of ordinary differential equations. Such methods have often been thought to be unacceptably expensive; but we show, by means of extensive numerical tests, using a variety of algorithms, that the ODE approach can in fact be implemented in such a way as to be more than competitive with currently available conventional techniques.This work was supported by a SERC research studentship for the first author. Both authors are indebted to Dr. J. J. McKeown and Dr. K. D. Patel of SCICON Ltd, the collaborating establishment, for their advice and encouragement. |
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Keywords: | Unconstrained minimization trajectory following ODE methods for optimization computational algorithms |
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