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Sequential stopping rules for the multistart algorithm in global optimisation

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Abstract

In this paper a sequential stopping rule is developed for the Multistart algorithm. A statistical model for the values of the observed local maxima of an objective function is introduced in the framework of Bayesian non-parametric statistics. A suitablea-priori distribution is proposed which is general enough and which leads to computationally manageable expressions for thea-posteriori distribution. Sequential stopping rules of thek-step look-ahead kind are then explicitly derived, and their numerical effectiveness compared.

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Authors and Affiliations

  1. CNR-IAMI, via A. M. Ampère, 56, I-20131, Milano, Italy

    Bruno Betrò & Fabio Schoen

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  1. Bruno Betrò
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  2. Fabio Schoen
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Betrò, B., Schoen, F. Sequential stopping rules for the multistart algorithm in global optimisation. Mathematical Programming 38, 271–286 (1987). https://doi.org/10.1007/BF02592015

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  • DOI: https://doi.org/10.1007/BF02592015

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