SOMS: SurrOgate MultiStart algorithm for use with nonlinear programming for global optimization

Krityakierne, Tipaluck; Shoemaker, Christine A. (2015). SOMS: SurrOgate MultiStart algorithm for use with nonlinear programming for global optimization. International Transactions in Operational Research, 24(5), pp. 1139-1172. Blackwell 10.1111/itor.12190

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SOMS is a general surrogate-based multistart algorithm, which is used in combination with any local optimizer to find global optima for computationally expensive functions with multiple local minima. SOMS differs from previous multistart methods in that a surrogate approximation is used by the multistart algorithm to help reduce the number of function evaluations necessary to identify the most promising points from which to start each nonlinear programming local search. SOMS’s numerical results are compared with four well-known methods, namely, Multi-Level Single Linkage (MLSL), MATLAB’s MultiStart, MATLAB’s GlobalSearch, and GLOBAL. In addition, we propose a class of wavy test functions that mimic the wavy nature of objective functions arising in many black-box simulations. Extensive comparisons of algorithms on the wavy testfunctions and on earlier standard global-optimization test functions are done for a total of 19 different test problems. The numerical results indicate that SOMS performs favorably in comparison to alternative methods and does especially well on wavy functions when the number of function evaluations allowed is limited.

Item Type:

Journal Article (Original Article)

Division/Institute:

08 Faculty of Science > Department of Mathematics and Statistics > Institute of Mathematical Statistics and Actuarial Science

UniBE Contributor:

Krityakierne, Tipaluck

Subjects:

500 Science > 510 Mathematics

ISSN:

1475-3995

Publisher:

Blackwell

Language:

English

Submitter:

Lutz Dümbgen

Date Deposited:

07 Apr 2016 11:13

Last Modified:

04 Jun 2017 02:04

Publisher DOI:

10.1111/itor.12190

BORIS DOI:

10.7892/boris.78708

URI:

https://boris.unibe.ch/id/eprint/78708

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