A Level-Value Estimation Method and Stochastic Implementation for Global Optimization

作者：Peng, Zheng^*; Wu, Donghua; Zheng, Quan

来源：Journal of Optimization Theory and Applications, 2013, 156(2): 493-523.

DOI：10.1007/s10957-012-0151-1

• Global optimization
• Level-value estimation method
• Variance equation
• Inexact Newton method
• Importance sampling

In this paper, we propose a new method, namely the level-value estimation method, for finding global minimizer of continuous optimization problem. For this purpose, we define the variance function and the mean deviation function, both depend on a level value of the objective function to be minimized. These functions have some good properties when Newton's method is used to solve a variance equation resulting by setting the variance function to zero. We prove that the largest root of the variance equation equals the global minimal value of the corresponding optimization problem. We also propose an implementable algorithm of the level-value estimation method where importance sampling is used to calculate integrals of the variance function and the mean deviation function. The main idea of the cross-entropy method is used to update the parameters of sample distribution at each iteration. The implementable level-value estimation method has been verified to satisfy the convergent conditions of the inexact Newton method for solving a single variable nonlinear equation. Thus, convergence is guaranteed. The numerical results indicate that the proposed method is applicable and efficient in solving global optimization problems.

• 出版日期2013-2
• 单位上海大学; 福州大学