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A new integral filter algorithm for unconstrained global optimization. (English) Zbl 1272.65055

This paper proposes an exponential integral filter algorithm in solving unconstrained global optimization problems. A quasi-Newton method search is used for the local minimum, and the Monte Carlo method is used for integral operation. The convergence of the algorithm is established under certain mild condition. Some numerical results in solving five test problems are presented.

MSC:

65K05 Numerical mathematical programming methods
90C26 Nonconvex programming, global optimization
90C53 Methods of quasi-Newton type
65C05 Monte Carlo methods
90C57 Polyhedral combinatorics, branch-and-bound, branch-and-cut
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