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BRST algorithm

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This is an old revision of this page, as edited by Oleg Alexandrov (talk | contribs) at 23:30, 5 September 2005. The present address (URL) is a permanent link to this revision, which may differ significantly from the current revision.

Boender-Rinnooy-Stougie-Timmer algorithm (BRST) 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 BRST shows superior performance.
  • [2] Presents the number of function-evaluations performed on the testset of Dixon-Szegö. Along with the MCS_algorithm, the BRST requires the lowest number of evaluations.
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