Introduction to Global Optimization
Résumé
These slides constitute a 12h introductory course on global optimization.
The course starts with basic concepts specific to global optimization and different from those underlying local optimization algorithms.
A selection of 6 algorithms is then presented: random search, randomly restarted local searches, simulated annealing, CMA-ES and Bayesian Optimization. This selection is meant to cover the main mechanisms behind global searches.
Pre-requisites are: linear algebra, basic probabilities and local optimization (gradient methods, necessary optimality conditions).
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