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Article Dans Une Revue SN Operations Research Forum Année : 2021

Combining Cross-Entropy and MADS Methods for Inequality Constrained Global Optimization

Résumé

This paper proposes a way to combine the Mesh Adaptive Direct Search (Mads) algorithm with the Cross-Entropy (CE) method for nonsmooth constrained optimization. The CE method is used as an exploration step by the Mads algorithm. The result of this combination retains the convergence properties of Mads and allows an efficient exploration in order to move away from local minima. The CE method samples trial points according to a multivariate normal distribution whose mean and standard deviation are calculated from the best points found so far. Numerical experiments show the efficiency of this method compared to other global optimization heuristics. Moreover, applied on complex engineering test problems, this method allows an important improvement to reach the feasible region and to escape local minima.
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Dates et versions

hal-03447123 , version 1 (24-11-2021)

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Charles Audet, Jean Bigeon, Romain Couderc. Combining Cross-Entropy and MADS Methods for Inequality Constrained Global Optimization. SN Operations Research Forum, 2021, 2 (3), ⟨10.1007/s43069-021-00075-y⟩. ⟨hal-03447123⟩
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