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Optimization, Control, and Applications of Stochastic Systems pp 157–179Cite as

Birkhäuser

A Survey of Some Model-Based Methods for Global Optimization

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Part of the book series: Systems & Control: Foundations & Applications ((SCFA))

Abstract

We review some recent developments of a class of random search methods: model-based methods for global optimization problems. Probability models are used to guide the construction of candidate solutions in model-based methods, which makes them easy to implement and applicable to problems with little structure. We have developed various frameworks for model-based algorithms to guide the updating of probabilistic models and to facilitate convergence proofs. Specific methods covered in this survey include model reference adaptive search, a particle-filtering approach, an evolutionary games approach, and a stochastic approximation-based gradient approach.

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Acknowledgements

This work was supported in part by the National Science Foundation (NSF) under Grants CNS-0926194, CMMI-0856256, CMMI-0900332, CMMI-1130273, CMMI-1130761, EECS-0901543, and by the Air Force Office of Scientific Research (AFOSR) under Grant FA9550-10-1-0340.

Author information

Authors and Affiliations

  1. Department of Applied Mathematics and Statistics, State University at Stony Brook, Stony Brook, NY, 11794, USA

    Jiaqiao Hu

  2. Department of Electrical and Computer Engineering & Institute for Systems Research, University of Maryland, College Park, MD, 20742, USA

    Yongqiang Wang & Steven I. Marcus

  3. Department of Industrial and Enterprise Systems Engineering, University of Illinois at Urbana-Champaign, Chicago, IL, 61801, USA

    Enlu Zhou

  4. The Robert H. Smith School of Business & Institute for Systems Research, University of Maryland, College Park, MD, 20742, USA

    Michael C. Fu

Authors
  1. Jiaqiao Hu
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  2. Yongqiang Wang
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  3. Enlu Zhou
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  4. Michael C. Fu
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  5. Steven I. Marcus
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Corresponding author

Correspondence to Steven I. Marcus .

Editor information

Editors and Affiliations

  1. , Department of Probability and Statistics, Center for Research in Mathematics, Jalisco s/n, Guanajuato, 36000, Mexico

    Daniel Hernández-Hernández

  2. , Department of Mathematics, University of Sonora, Rosales s/n, Hermosillo, 83000, Sonora, Mexico

    J. Adolfo Minjárez-Sosa

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Hu, J., Wang, Y., Zhou, E., Fu, M.C., Marcus, S.I. (2012). A Survey of Some Model-Based Methods for Global Optimization. In: Hernández-Hernández, D., Minjárez-Sosa, J. (eds) Optimization, Control, and Applications of Stochastic Systems. Systems & Control: Foundations & Applications. Birkhäuser, Boston. https://doi.org/10.1007/978-0-8176-8337-5_10

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