A Global Optimization Algorithm Using Stochastic Differential Equations.

Abstract

SIGMA is a set of FORTRAN subprograms for solving the global optimization problem, which implement a method founded on the numerical solution of a Cauchy problem for stochastic differential equations inspired by quantum physics. This paper gives a detailed description of the method as implemented in SIGMA, and reports on the numerical tests which have been performed while the SIGMA package is described in the accompanying Algorithm. The main conclusions are that SIGMA performs very well on several hard test problems; unfortunately given the state of the mathematical software for global optimization it has not been possible to make conclusive comparisons with other packages. Keywords: Algorithms, Theory, Verification, Global Optimization, Stochastic Differential Equations.

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Document Details

Document Type
Technical Report
Publication Date
Feb 01, 1985
Accession Number
ADA153526

Entities

People

  • F. Aluffi-pentini
  • F. Zirilli
  • V. Parisi

Organizations

  • University of Wisconsin–Madison

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Communities of Interest

  • Energy and Power Technologies

DTIC Thesaurus Topics

  • Algorithms
  • Chemistry
  • Computational Science
  • Computations
  • Computers
  • Contracts
  • Differential Equations
  • Dynamic Range
  • Equations
  • Mathematical Programming
  • Mathematics
  • Plastic Explosives
  • Potential Energy
  • Probability
  • Random Variables
  • United States
  • Universities

Readers

  • Database Systems and Applications
  • Statistical inference.
  • Technical Research and Report Writing.

Technology Areas

  • Quantum Computing