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Application of Bayesian approach to numerical methods of global and stochastic optimization. (English) Zbl 0801.90099

Summary: A review of applications of the Bayesian approach to global and stochastic optimization of continuous multimodal functions is given. Advantages and disadvantages of the Bayesian approach (average case analysis) are discussed in comparison with the more usual minimax approach (worst case analysis). A new interactive version of software for global optimization is presented. Practical multidimensional problems of global optimization are considered.

MSC:

90C30 Nonlinear programming
90C15 Stochastic programming
90-08 Computational methods for problems pertaining to operations research and mathematical programming

Software:

NLPQL
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References:

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