Discontinuous Penalty Approach With Deviation Integral for Global Constrained Minimization
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摘要: 结合积分途径运用不连续精确罚函数来求解全局约束最小化问题.进一步,提出了约束变差积分的一般形式并证明了其分析性质,同时也给出并证明了其全局最优性条件,并由此设计了一个新算法.基于Monte-Carlo模拟技术,运用交叉熵方法和重要样本实现了该算法.数值实验也说明了这个新算法是有效的.Abstract: The discontinuous exact penalty functions is employed to solve constrained minimization problems with the help of integral approach.A general form of constrained deviation integral was provided and its analytical properties was examined.Optimality conditions of the penalized minimization problem was proved as well.In order to implement the algorithm,cross-entropy method and important sampling were used on the basis of Monte-Carlo technique.Numerical tests show that the new algorithm is effective.
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Key words:
- global optimization /
- constrained problems /
- deviation integral /
- cross-entropy method
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