Global optimization and stochastic differential equations
type: Item
instance of: scholarly article
title: Global optimization and stochastic differential equations
zbMATH Open document ID: 0549.65038
DOI: 10.1007/BF00941312
author: F. Aluffi-Pentini
author: V. Parisi
author: Francesco Zirilli
published in: Journal of Optimization Theory and Applications
publication date: 1985-01-01T00:00:00Z
review text: Let \({\mathbb{R}}^ n\) be the n-dimensional real Euclidean space, \(x=(x_ 1,x_ 2,...,x_ n)^{T}\in {\mathbb{R}}^ n\), and let f: \({\mathbb{R}}^ n\to {\mathbb{R}}\) be a real-valued function. We consider the problem of finding the global minimizers of f. 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.
Mathematics Subject Classification ID: 65K05
Mathematics Subject Classification ID: 90C30
Mathematics Subject Classification ID: 60H10
zbMATH DE Number: 3876493
zbMATH Keywords: global optimization
zbMATH Keywords: global minimizers
zbMATH Keywords: system of stochastic differential equations
zbMATH Keywords: test problems
MaRDI profile type: Publication
cites work: Q3881612
cites work: Optimization by Simulated Annealing
cites work: Eigenvalues of the Fokker–Planck Operator and the Approach to Equilibrium for Diffusions in Potential Fields
cites work: Asymptotic eigenvalue degeneracy for a class of one-dimensional Fokker–Planck operators
full work available at URL: https://doi.org/10.1007/bf00941312
OpenAlex ID: W1985649736
description: scientific article; zbMATH DE number 3876493