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A perturbed martingale approach to global optimization

Sarkar, Saikat and Roy, Debasish and Vasu, Ram Mohan (2014) A perturbed martingale approach to global optimization. In: PHYSICS LETTERS A, 378 (38-39). pp. 2831-2844.

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Official URL: http://dx.doi.org/ 10.1016/j.physleta.2014.07.044


A new global stochastic search, guided mainly through derivative-free directional information computable from the sample statistical moments of the design variables within a Monte Carlo setup, is proposed. The search is aided by imparting to the directional update term additional layers of random perturbations referred to as `coalescence' and `scrambling'. A selection step, constituting yet another avenue for random perturbation, completes the global search. The direction-driven nature of the search is manifest in the local extremization and coalescence components, which are posed as martingale problems that yield gain-like update terms upon discretization. As anticipated and numerically demonstrated, to a limited extent, against the problem of parameter recovery given the chaotic response histories of a couple of nonlinear oscillators, the proposed method appears to offer a more rational, more accurate and faster alternative to most available evolutionary schemes, prominently the particle swarm optimization. (C) 2014 Elsevier B.V. All rights reserved.

Item Type: Journal Article
Additional Information: Copy right for this article belongs to the ELSEVIER SCIENCE BV, PO BOX 211, 1000 AE AMSTERDAM, NETHERLANDS
Keywords: Local and global extremization; Martingale problem; Random perturbations; Gain-like additive updates; Chaotic dynamics
Department/Centre: Division of Mechanical Sciences > Civil Engineering
Division of Physical & Mathematical Sciences > Instrumentation Appiled Physics
Date Deposited: 12 Nov 2014 05:28
Last Modified: 12 Nov 2014 05:28
URI: http://eprints.iisc.ac.in/id/eprint/50236

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