Bierlaire, M., Thémans, M., and Zufferey, N.

A heuristic for nonlinear global optimization

Speaker: Bierlaire Michel

Seminar, Applied Mathematics Dpt, SINTEF, Norwegian University of Science and Technology

February 06, 2008

We propose a new heuristic for nonlinear global optimization combining a variable neighborhood search framework with a modified trust-region algorithm as local search. The proposed method presents the capability to prematurely interrupt the local search if the iterates are converging to a local minimum that has already been visited or if they are reaching an area where no significant improvement can be expected. The neighborhoods, as well as the neighbors selection procedure, are exploiting the curvature of the objective function. Numerical tests are performed on a set of unconstrained nonlinear problems from the literature. Results illustrate that the new method significantly outperforms existing heuristics from the literature in terms of success rate, CPU time, and number of function evaluations.