| 一种新的求总极值的水平值估计算法 |
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| 引用本文： | 楼烨,孙胜,武明楠.一种新的求总极值的水平值估计算法[J].运筹学学报,2012,16(2):105-114. |
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| 作者姓名： | 楼烨 孙胜 武明楠 |
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| 作者单位： | 1. 上海科学技术职业学院，上海，201800; 2. 上海大学理学院，上海, 200444 |
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| 摘 要： | 提出了一种求解总极值问题的新水平值估计算法. 为此, 引入一类变差函数并研究它的性质; 给出基于变差函数的全局最优性条件, 并构造出一种求总极值的水平值估计算法. 为了实现这种算法, 采用了基于重点样本技术的Monte-Carlo方法来计算变差,并利用相对熵算法的主要思想更新取样密度.初步的数值实验说明了算法的有效性.
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| 关 键 词： | 总极值 变差函数 水平值估计算法 重点取样 相对熵算法 |
A new level-value estimation method for global minimization |
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| LOU Ye
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SUN Sheng
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WU Mingnan.A new level-value estimation method for global minimization[J].OR Transactions,2012,16(2):105-114. |
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| Authors: | LOU Ye SUN Sheng WU Mingnan |
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| Institution: | 1. Shanghai Vocational College of Science and Technology, Shanghai 201800, China； 2. School of Sciences, Shanghai University, Shanghai 200444, China |
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| Abstract: | In this paper,a new level-value estimation method is proposed for solving global optimization problem.For this purpose,we introduce a deviation function and study its properties.Based the deviation function,we give a global optimality condition, and then propose a conceptual level-value estimation algorithm,and prove the global convergence of the proposed method.For the implementation of the proposed method, we use the Monte-Carlo method with important sampling to compute the deviation,in which the sample density is updated by the main ideas of the cross-entropy method.Some primary numerical results show the validity of the proposed method. |
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| Keywords: | global optimization deviation function the level-value estimation important sampling the cross-entropy method |
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