Hooke–Jeeves Method-used Local Search in a Hybrid Global Optimization Algorithm
Valeri Sulimov, Pavel M. Shkapov, Sergey Victorovich Nosachev · Science and Education of the Bauman MSTU · 2014
Modern methods for optimization investigation of complex systems are based on development and updating the mathematical models of systems because of solving the appropriate inverse problems. Input data desirable for solution are obtained from the analysis of experimentally defined consecutive characteristics for a system or a process. Causal characteristics are the sought ones to which equation coefficients of mathematical models of object, limit conditions, etc. belong. The optimization approach is one of the main ones to solve the inverse problems. In the main case it is necessary to find a global extremum of not everywhere differentiable criterion function. Global optimization methods are widely used in problems of identification and computation diagnosis system as well as in optimal control, computing to-mography, image restoration, teaching the neuron networks, other intelligence technologies. Increasingly complicated systems of optimization observed during last decades lead to more complicated mathematical models, thereby making solution of appropriate extreme problems significantly more difficult. A great deal of practical applications may have the problem con-ditions, which can restrict modeling. As a consequence, in inverse problems the criterion functions can be not everywhere differentiable and noisy. Available noise means that calculat-ing the derivatives is difficult and unreliable. It results in using the optimization methods without calculating the derivatives. An efficiency of deterministic algorithms of global optimization is significantly restrict-ed by their dependence on the extreme problem dimension. When the number of variables is large they use the stochastic global optimization algorithms. As stochastic algorithms yield too expensive solutions, so this drawback restricts their applications. Developing hybrid algo-rithms that combine a stochastic algorithm for scanning the variable space with deterministic local search method is a promising way. A new hybrid algorithm that integrates a multiple Metropolis algorithm and the Hooke–Jeeves method for the local search is proposed. Some results on solving the global optimization benchmark are presented.