Nonautonomous stochastic search for global minimum in continuous optimization

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:412

Article

Tarlowski, Dawid

关键词: Stochastic optimization;    Global optimization;    Lyapunov function;    Foias operator;    Grenade explosion method;    Evolution strategy;   

DOI  :  10.1016/j.jmaa.2013.10.070

来源: Elsevier

【 摘 要 】

Various iterative stochastic optimization schemes can be represented as discrete-time Markov processes defined by the nonautonomous equation Xt+1 = T-t(X-t, Y-t), where Y-t is an independent sequence and T-t is a sequence of mappings. This paper presents a general framework for the study of the stability and convergence of such optimization processes. Some applications are given: the mathematical convergence analysis of two optimization methods, the elitist evolution strategy (mu + lambda) and the grenade explosion method, is presented. (C) 2013 Elsevier Inc. All rights reserved.

【 授权许可】

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