Discontinuous penalty approach with deviation integral for global constrained minimization

被引：2

作者：

Chen, Liu ^{[1
]}

Yao, Yi-rong ^{[1
]}

Zheng, Quan ^{[1
,2
]}

机构：

[1] Shanghai Univ, Dept Math, Shanghai 200444, Peoples R China

[2] Columbus State Univ, Dept Math, Columbus, GA 31907 USA

来源：

APPLIED MATHEMATICS AND MECHANICS-ENGLISH EDITION | 2009年 / 30卷 / 09期

基金：

中国国家自然科学基金;

关键词：

global optimization; constrained problems; deviation integral; cross-entropy method; CROSS-ENTROPY METHOD; OPTIMIZATION;

D O I：

10.1007/s10483-009-0915-x

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we use the discontinuous exact penalty functions to solve the constrained minimization problems with an integral approach. We examine a general form of the constrained deviation integral and its analytical properties. The optimality conditions of the penalized minimization problems are proven. To implement the algorithm, the cross-entropy method and the importance sampling are used based on the Monte-Carlo technique. Numerical tests show the effectiveness of the proposed algorithm.

引用

页码：1201 / 1210

页数：10

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