Unconstrained global optimization using stochastic intergral equations

DOI10.1080/02331939508844126MaRDI QIDQ4859819zbMATH OpenOpenAlexFDO

Authors Stefan Schäffler

Publication date 7 January 1996

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331939508844126

zbMATH Keywords

Brownian motionparallel algorithmssemi-implicit Euler methodstochastic integral equationsstochastic methodtransputer networksunconstrained global optimization

Mathematics Subject Classification ID

Stochastic integral equations (60H20) Numerical mathematical programming methods (65K05) Parallel numerical computation (65Y05) Nonlinear programming (90C30)

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Cites work

• Automatic differentiation of characterizing sequences
• Diffusion for Global Optimization in $\mathbb{R}^n $
• Diffusions for Global Optimization
• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• scientific article; zbMATH DE number 1243473 (Why is no real title available?)

Cited in

(15)

• Adams methods for the efficient solution of stochastic differential equations with additive noise
• Global optimization in the class of stochastically unimodal functions
• Steklov regularization and trajectory methods for univariate global optimization
• scientific article; zbMATH DE number 2130662 (Why is no real title available?)
• Polynomial chaos for the approximation of uncertainties: Chances and limits
• A global optimization algorithm using stochastic differential equations
• scientific article; zbMATH DE number 4099044 (Why is no real title available?)
• A Stochastic Method for Constrained Global Optimization
• Combination of two underestimators for univariate global optimization
• Unconstrained optimization in a stochastic cellular automata system
• scientific article; zbMATH DE number 1437504 (Why is no real title available?)
• An Efficient, Globally Convergent Method for Optimization Under Uncertainty Using Adaptive Model Reduction and Sparse Grids
• Subset simulation for unconstrained global optimization
• Stochastic method for the solution of unconstrained vector optimization problems
• Linearly constrained global optimization and stochastic differential equations

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