Linearly constrained global optimization and stochastic differential equations

DOI10.1007/s10898-006-9026-zzbMath1131.90037OpenAlexW2158204224MaRDI QIDQ857812

Panos Parpas, Efstratios N. Pistikopoulos, Berc Rustem

Publication date: 5 January 2007

Published in: Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10898-006-9026-z

zbMATH Keywords

Fokker-Planck equationSimulated annealingLaplace's methodStochastic differential equationsStochastic global optimizationProjection algorithms

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)

Related Items (9)

A global optimization algorithm for generalized semi-infinite, continuous minimax with coupled constraints and bi-level problems ⋮ A review of recent advances in global optimization ⋮ Convergence analysis of a global optimization algorithm using stochastic differential equations ⋮ On the information-based complexity of stochastic programming ⋮ A smoothing algorithm for finite min-max-min problems ⋮ Global optimization of higher order moments in portfolio selection ⋮ Global optimization of robust chance constrained problems ⋮ Global optimization with orthogonality constraints via stochastic diffusion on manifold ⋮ Stationary probability density of stochastic search processes in global optimization

Uses Software

• SIGMA_

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