Convergence analysis of a global optimization algorithm using stochastic differential equations

DOI10.1007/s10898-008-9397-4zbMath1192.90147OpenAlexW1971580797MaRDI QIDQ842717

Panos Parpas, Berc Rustem

Publication date: 25 September 2009

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

Full work available at URL: https://doi.org/10.1007/s10898-008-9397-4

zbMATH Keywords

Fokker-Planck equationsimulated annealingLaplace's methodprojection algorithms

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic programming (90C15)

Related Items

Global optimization with orthogonality constraints via stochastic diffusion on manifold

Uses Software

• SIGMA_

Cites Work

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