A statistical method for global optimization
Dennis D. Cox, St. John · 2003
An algorithm for finding global optima using statistical prediction is presented. Assuming a random function model, lower confidence bounds on predicted values are used for sequential selection of evaluation points and as a convergence criterion. Comparison with published results for several test functions indicates that the procedure is very efficient in finding the global optimum of a multimodal function, and in terminating with relatively few evaluations.>