Sequential stopping rules for the multistart algorithm in global optimisation |
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Authors: | Bruno Betrò Fabio Schoen |
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Institution: | (1) CNR-IAMI, via A. M. Ampère, 56, I-20131 Milano, Italy |
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Abstract: | In this paper a sequential stopping rule is developed for the Multistart algorithm. A statistical model for the values of
the observed local maxima of an objective function is introduced in the framework of Bayesian non-parametric statistics. A
suitablea-priori distribution is proposed which is general enough and which leads to computationally manageable expressions for thea-posteriori distribution. Sequential stopping rules of thek-step look-ahead kind are then explicitly derived, and their numerical effectiveness compared. |
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Keywords: | Global optimisation Monte Carlo method stopping rules Multistart algorithm Bayes methods |
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