Linearly constrained global optimization and stochastic differential equations
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Fokker-Planck equationLaplace's methodProjection algorithmsSimulated annealingStochastic differential equationsStochastic global optimization
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31) Stochastic programming (90C15) Approximation methods and heuristics in mathematical programming (90C59)
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- Global optimization and stochastic differential equations
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- Laplace's method revisited: Weak convergence of probability measures
- Recursive Stochastic Algorithms for Global Optimization in $\mathbb{R}^d $
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- The Gradient Projection Method Along Geodesics
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Cited in
(18)- A smoothing algorithm for finite min-max-min problems
- Global optimization of higher order moments in portfolio selection
- Global optimization of robust chance constrained problems
- A stochastic approach to global optimization of nonlinear programming problem with many equality constraints
- Analysis of search methods of optimization based on potential theory. III: Convergence of methods
- Global optimization with orthogonality constraints via stochastic diffusion on manifold
- On the information-based complexity of stochastic programming
- A method combining genetic algorithm with simultaneous perturbation stochastic approximation for linearly constrained stochastic optimization problems
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- An stochastic algorithm for global optimization with linear constraints based on intermittent diffusion
- Stationary probability density of stochastic search processes in global optimization
- Probabilistic nonconvex constrained optimization with fixed number of function evaluations
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- A global optimization algorithm for generalized semi-infinite, continuous minimax with coupled constraints and bi-level problems
- A review of recent advances in global optimization
- Convergence analysis of a global optimization algorithm using stochastic differential equations
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