Publication

A generalization of the Solis-Wets method

2012
Journal Articles

Résumé

In this paper we focus on the application of global stochastic optimization methods to extremum estimators. We propose a general stochastic method the master method which includes several stochastic optimization algorithms as a particular case. The proposed method is sufficiently general to include the Solis-Wets method, the improving hit-and-run algorithm, and a stochastic version of the zigzag algorithm. A matrix formulation of the master method is presented and some specific results are given for the stochastic zigzag algorithm. Convergence of the proposed method is established under a mild set of conditions, and a simple regression model is used to illustrate the method. (C) 2011 Elsevier B.V. All rights reserved.

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https://infoscience.epfl.ch/entities/publication/94b6366b-1d12-4cd2-81bc-6eff7424d538

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2012
Journal Articles

Résumé

Source officielle

https://infoscience.epfl.ch/entities/publication/94b6366b-1d12-4cd2-81bc-6eff7424d538

À propos de ce résultat

Concepts associés (24)

Stochastic optimization

Stochastic optimization (SO) methods are optimization methods that generate and use random variables. For stochastic problems, the random variables appear in the formulation of the optimization problem itself, which involves random objective functions or random constraints. Stochastic optimization methods also include methods with random iterates. Some stochastic optimization methods use random iterates to solve stochastic problems, combining both meanings of stochastic optimization.

Global optimization

Global optimization is a branch of applied mathematics and numerical analysis that attempts to find the global minima or maxima of a function or a set of functions on a given set. It is usually described as a minimization problem because the maximization of the real-valued function is equivalent to the minimization of the function . Given a possibly nonlinear and non-convex continuous function with the global minima and the set of all global minimizers in , the standard minimization problem can be given as that is, finding and a global minimizer in ; where is a (not necessarily convex) compact set defined by inequalities .

Algorithme de colonies de fourmis

Les algorithmes de colonies de fourmis (, ou ACO) sont des algorithmes inspirés du comportement des fourmis, ou d'autres espèces formant un superorganisme, et qui constituent une famille de métaheuristiques d’optimisation. Initialement proposé par Marco Dorigo dans les années 1990, pour la recherche de chemins optimaux dans un graphe, le premier algorithme s’inspire du comportement des fourmis recherchant un chemin entre leur colonie et une source de nourriture.

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