ICRS-Filter: A randomized direct search algorithm for constrained nonconvex optimization problems

doi:10.1016/j.cherd.2015.12.001

2016-02-01

Biyu Li

Viet Hoang Nguyen

Chieh. L. Ng

Ehecatl Antonio del Rio‐Chanona

Vassilios S. Vassiliadis *

Harvey Arellano‐García

DOI：10.1016/j.cherd.2015.12.001

原文链接

查看原文

摘要

En 中文

This work presents a novel algorithm and its implementation for the stochastic optimization of generally constrained Nonlinear Programming Problems (NLP). The basic algorithm adopted is the Iterated Control Random Search (ICRS) method of Casares and Banga (1987) with modifications such that random points are generated strictly within a bounding box defined by bounds on all variables. The ICRS algorithm serves as an initial point determination method for launching gradient-based methods that converge to the nearest local minimum. The issue of constraint handling is addressed in our work via the use of a filter based methodology, thus obviating the need for use of the penalty functions as in the basic ICRS method presented in Banga and Seider (1996), which handles only bound constrained problems. The proposed algorithm, termed ICRS-Filter, is shown to be very robust and reliable in producing very good or global solutions for most of the several case studies examined in this contribution. (C) 2015 The Institution of Chemical Engineers. Published by Elsevier B.V. All rights reserved.

Keyword:

Nonconvex programming problem

Randomized search

Nonlinear programming

Stochastic search algorithms