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Global optimization based on a statistical model and simplicial partitioning. (English) Zbl 1047.90036
Summary: A statistical model for global optimization is constructed generalizing some properties of the Wiener process to the multidimensional case. An approach to the construction of global optimization algorithms is developed using the proposed statistical model. The convergence of an algorithm based on the constructed statistical model and simplicial partitioning is proved. Several versions of the algorithm are implemented and investigated.

MSC:
90C15 Stochastic programming
90C30 Nonlinear programming
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