Linearly constrained global optimization and stochastic differential equations
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Fokker-Planck equationLaplace's methodStochastic differential equationsSimulated annealingStochastic global optimizationProjection algorithms
Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Approximation methods and heuristics in mathematical programming (90C59) Stochastic programming (90C15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)
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Cited in
(18)- Probabilistic nonconvex constrained optimization with fixed number of function evaluations
- A method combining genetic algorithm with simultaneous perturbation stochastic approximation for linearly constrained stochastic optimization problems
- Stationary probability density of stochastic search processes in global optimization
- Convergence analysis of a global optimization algorithm using stochastic differential equations
- A global optimization algorithm for generalized semi-infinite, continuous minimax with coupled constraints and bi-level problems
- On the information-based complexity of stochastic programming
- A stochastic approach to global optimization of nonlinear programming problem with many equality constraints
- A review of recent advances in global optimization
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- Global optimization of robust chance constrained problems
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