Stochastic global optimization. (Q2463939)

The aim of the book is to present the major methodological and theoretical developments in the field of stochastic global optimization including global random search and methods based on probabilistic assumptions about the objective function. The book contains four chapters. The contents of this book are as follows: 1. Basic concepts and ideas. 2. Global random search: Fundamental and statistical inference. 3. Global random search: Extensions, 4. Statistical models. Chapter 1 introduces the reader to the scope of global optimization. The main concepts and some difficulties arising in problems of global optimization are presented. Stochastic methods versus deterministic methods in global optimization methods based on statistical models are described. Also, the experimental testing of global optimization algorithms, software available for implementation of global optimization algorithms and applications of global optimization methods are presented. In Chapter 2 the authors formulate and discuss basic assumptions concerning the feasible region and the objective function, introduce a general scheme of global random search algorithms and give a general result establishing convergence of global random search algorithms. Furthermore, a pure random search (PRS), a version of PRS which is called ``pure adaptive search'' and a generalized version which is called ``pure adaptive search of order \(k\)'' are presented. Results of the theory of extreme order statistics and the associated theory of record, statistical inference about \(m\), different ways of using statistical inference procedures in global random search algorithms, the so-called branch and probability bound methods and a review of statistical inference procedures in the method of random multistart, are presented. Chapter 3 discuss several more sophisticated global optimization techniques including random and semi-random coverings, random multistart, stratified sampling schemes, Markovian algorithms and the methods of generations. Finally in Chapter 4, techniques based on the use of statistical models about the objective function are studied. The book also contains an index. The book is well written and the presentation is rigorous and self-contained.