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A heuristic for nonlinear global optimization

Bierlaire, Michel  
•
Thémans, Michaël  
•
Zufferey, Nicolas
2007

We propose a new heuristic for nonlinear global optimization combining a variable neighborhood search framework with a modified trust-region algorithm as local search. The proposed method presents the capability to prematurely interrupt the local search if the iterates are converging to a local minimum which has already been visited or if they are reaching an area where no significant improvement can be expected. The neighborhoods as well as the neighbors selection procedure are exploiting the curvature of the objective function. Numerical tests are performed on a set of unconstrained nonlinear problems from the literature. Results illustrate that the new method significantly outperforms existing heuristics from the literature in terms of success rate, CPU time, and number of function evaluations.

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Type
report
Author(s)
Bierlaire, Michel  
Thémans, Michaël  
Zufferey, Nicolas
Date Issued

2007

URL

URL

http://transp-or2.epfl.ch/technicalReports/BierThemZuff07-global.pdf
Written at

EPFL

EPFL units
TRANSP-OR  
Available on Infoscience
February 15, 2008
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/18731
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