A parallel stochastic method for solving linearly constrained concave global minimization problems

DOI10.1007/BF00171828MaRDI QIDQ1200631zbMATH OpenOpenAlexFDO

Authors A. T. Phillips, J. B. Rosen, Mario van Vliet

Publication date 16 January 1993

Published in Journal of Global Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf00171828

zbMATH Keywords

Bayesian stopping ruledifferentiable strictly concave function over a polytopeglobal minimizationmultistart techniqueparallel stochastic algorithm

Mathematics Subject Classification ID

Parallel numerical computation (65Y05) Computational methods for problems pertaining to operations research and mathematical programming (90-08) Nonlinear programming (90C30)

Review text

A parallel stochastic algorithm is presented for the global minimization of a differentiable strictly concave function over a polytope. The approach is based on a multistart technique, which repeatly employs a global and a local phase during the solution process. In the global phase, a random search direction is selected and used to obtain a starting point for the local phase; the local phase then attempts to find a local minimum by starting from this point. A Bayesian stopping rule is used to terminate the algorithm with a high probability that all of the local minima have been found. Computational results are presented for more than 200 problems on a Cray X-MP EA/464 supercomputer. Only three classes of functions have been tested: quadratic, exponential and fixed charge functions (these are approximated by concave exponential functions in separable form).

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