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, Volume 18, Issue 2, pp 396–412 | Cite as

P-algorithm based on a simplicial statistical model of multimodal functions

  • Antanas ŽilinskasEmail author
  • Julius Žilinskas
Original Paper

Abstract

A well-recognized one-dimensional global optimization method is generalized to the multidimensional case. The generalization is based on a multidimensional statistical model of multimodal functions constructed by generalizing computationally favorable properties of a popular one-dimensional model—the Wiener process. A simplicial partition of a feasible region is essential for the construction of the model. The basic idea of the proposed method is to search where improvements of the objective function are most probable; a probability of improvement is evaluated with respect to the statistical model. Some results of computational experiments are presented.

Keywords

Statistical models of multimodal functions Global optimization Simplicial partition 

Mathematics Subject Classification (2000)

90C26 

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Copyright information

© Sociedad de Estadística e Investigación Operativa 2010

Authors and Affiliations

  1. 1.Institute of Mathematics and InformaticsVilniusLithuania

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