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P-algorithm based on a simplicial statistical model of multimodal functions. (English) Zbl 1206.90131
Summary: A well-recognized one-dimensional global optimization method is generalized to the multidimensional case. The generalization is based on a multidimensional statistical model of multimodal functions constructed by generalizing computationally favorable properties of a popular one-dimensional model-the Wiener process. A simplicial partition of a feasible region is essential for the construction of the model. The basic idea of the proposed method is to search where improvements of the objective function are most probable; a probability of improvement is evaluated with respect to the statistical model. Some results of computational experiments are presented.

MSC:
90C26 Nonconvex programming, global optimization
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