Multilocal programming : a derivative-free filter multistart algorithm

• Author(s): Fernandes, Florbela P. ; Costa, M. Fernanda P. ; Fernandes, Edite Manuela da G. P.
• Date: 2013
• Persistent ID: http://hdl.handle.net/1822/27233
• Origin: RepositóriUM - Universidade do Minho
• Subject(s): Multilocal programming; Multistart; Derivative-free; Coordinate search; Filter method
• Document Type: Article
• Language: English

Description

Multilocal programming aims to locate all the local solutions of an optimization problem. A stochastic method based on a multistart strategy and a derivative-free filter local search for solving general constrained optimization problems is presented. The filter methodology is integrated into a coordinate search paradigm in order to generate a set of trial approximations that might be acceptable if they improve the constraint violation or the objective function value relative to the current one. Preliminary numerical experiments with a benchmark set of problems show the effectiveness of the proposed method.