An Efficient Global Optimization Algorithm based on Multi-unit Extremum Seeking.
Event details
| Date | 25.06.2010 |
| Hour | 10:15 |
| Speaker | Prof. B. Srinivasan, Department of Chemical Engineering, Ecole Polytechnique de Montréal, Canada. |
| Location |
MEC2405
|
| Category | Conferences - Seminars |
Finding the global optimum of a nonlinear function is a challenging task that could involve a large
number of functional evaluations. In this presentation, an algorithm that uses tools from the domain
of extremum-seeking is shown to provide an efficient deterministic method for global optimization.
Extremum-seeking schemes typically find the local optimum by controlling the gradient to zero.
Here the multi-unit framework is used, where the gradient is estimated by finite difference for a
given offset between the inputs. The gradient is pushed to zero by an integral controller. It is shown
that, if the offset is reduced to zero, the system can be made to converge to the global optimum of
nonlinear maps with constraints. Several illustrative examples are presented to show the capability of
this methodology. In the examples, the proposed method is compared with other available methods
of global optimization.
Links
Practical information
- General public
- Free