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BRST algorithm

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Boender-Timmer-Rinnooy-Stougie algorithm (BTRS) is stochastic optimization algorithm suitable for finding global optimum of black box functions. It includes a combination of techniques: sampling, clustering and local search, termination criteria based on the confidence intervals on the value of the global minimum.

A modification of the algorithm by Csendes originated the public-domain software product GLOBAL.


Bibliography

Boender, C.G.E., A.H.G. Rinnooy Kan, L. Strougie and G.T. Timmer (1982), "A stochastic method for global optimization", Mathematical Programming 22, 125-140.

Csendes, T.: Nonlinear parameter estimation by global optimization - Efficiency and reliability, Acta Cybernetica 8(1988) 361-370.


  • [1] Compares various global optimization algorithms, of which BRTS shows superior performance.
  • [2] Presents the number of function-evaluations performed on the testset of Dixon-Szegö. Along with the MCS_algorithm, the BRKS requires the lowest number of evaluations.
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