A hybrid approach to constrained global optimization

作者：Liu, Jianjun; Zhang, Shaohua^*; Wu, Changzhi; Liang, Jingwei; Wang, Xiangyu; Teo, Kok Lay

来源：Applied Soft Computing, 2016, 47: 281-294.

DOI：10.1016/j.asoc.2016.05.021

• Global optimization
• Exact penalty
• Greedy Diffusion Search
• LBFGS method

In this paper, we propose a novel hybrid global optimization method to solve constrained optimization problems. An exact penalty function is first applied to approximate the original constrained optimization problem by a sequence of optimization problems with bound constraints. To solve each of these box constrained optimization problems, two hybrid methods are introduced, where two different strategies are used to combine limited memory BFGS (L-BFGS) with Greedy Diffusion Search (GDS). The convergence issue of the two hybrid methods is addressed. To evaluate the effectiveness of the proposed algorithm, 18 box constrained and 4 general constrained problems from the literature are tested. Numerical results obtained show that our proposed hybrid algorithm is more effective in obtaining more accurate solutions than those compared to.

• 出版日期2016-10
• 单位中国石油大学（北京）