Iterative MC-algorithm to solve the global optimization problems


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A new method was proposed to solve the global minimization problems of the Hölder functions on compact sets obeying continuous functions. The method relies on the Monte Carlo batch processing intended for constructing the sequences of values of the “quasi-global” minima and their decrements. A numerical procedure was proposed to generate a probabilistic stopping rule whose operability was corroborated by numerous tests and benchmarks with algorithmically defined functions.

Sobre autores

A. Popkov

Institute for Systems Analysis; Moscow Institute of Physics and Technology

Autor responsável pela correspondência
Email: apopkov@isa.ru
Rússia, Moscow; Dolgoprudnyi

B. Darkhovsky

Institute for Systems Analysis; Moscow Institute of Physics and Technology; National Research University “Higher School of Economics,”

Email: apopkov@isa.ru
Rússia, Moscow; Dolgoprudnyi; Moscow

Yu. Popkov

Institute for Systems Analysis; Moscow Institute of Physics and Technology; National Research University “Higher School of Economics,”

Email: apopkov@isa.ru
Rússia, Moscow; Dolgoprudnyi; Moscow

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