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Single-solution simulated Kalman filter algorithm for global optimisation problems. (English) Zbl 1397.90304
Summary: This paper introduces single-solution simulated Kalman filter (ssSKF), a new single-agent optimisation algorithm inspired by Kalman filter, for solving real-valued numerical optimisation problems. In comparison, the proposed ssSKF algorithm supersedes the original population-based simulated Kalman filter (SKF) algorithm by operating with only a single agent, and having less parameters to be tuned. In the proposed ssSKF algorithm, the initialisation parameters are not constants, but they are produced by random numbers taken from a normal distribution in the range of \([0,1]\), thus excluding them from tuning requirement. In order to balance between the exploration and exploitation in ssSKF, the proposed algorithm uses an adaptive neighbourhood mechanism during its prediction step. The proposed ssSKF algorithm is tested using the 30 benchmark functions of CEC 2014, and its performance is compared to that of the original SKF algorithm, black hole (BH) algorithm, particle swarm optimisation (PSO) algorithm, grey wolf optimiser (GWO) algorithm and genetic algorithm (GA). The results show that the proposed ssSKF algorithm is a promising approach and able to outperform GWO and GA algorithms, significantly.
MSC:
90C26 Nonconvex programming, global optimization
65K05 Numerical mathematical programming methods
93E11 Filtering in stochastic control theory
90C59 Approximation methods and heuristics in mathematical programming
Software:
CEC 13; KEEL
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