Global optimization and stochastic differential equations |
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Authors: | F Aluffi-Pentini V Parisi F Zirilli |
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Institution: | (1) Dipartimento di Matematica, Università di Bari, Bari, Italy;(2) Dipartimento di Fisica, 2a Università di Roma Tor Vergata, Roma, Italy;(3) Istituto di Matematica, Università di Salerno, Salerno, Italy |
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Abstract: | Let
n
be then-dimensional real Euclidean space,x=(x
1,x
2, ...,x
n)T
n
, and letf:
n
R be a real-valued function. We consider the problem of finding the global minimizers off. A new method to compute numerically the global minimizers by following the paths of a system of stochastic differential equations is proposed. This method is motivated by quantum mechanics. Some numerical experience on a set of test problems is presented. The method compares favorably with other existing methods for global optimization.This research has been supported by the European Research Office of the US Army under Contract No. DAJA-37-81-C-0740.The third author gratefully acknowledges Prof. A. Rinnooy Kan for bringing to his attention Ref. 4. |
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Keywords: | Global optimization stochastic differential equations |
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