Stochastic Global Optimization: A Review on the Occasion of 25 Years of Informatica

Article type: Research Article

Authors: Žilinskas, Antanas^{1; *} | Zhigljavsky, Anatoly^{2; 3}

Affiliations: [1] Institute of Mathematics and Informatics, Vilnius University, Akademijos 4, LT-08663, Vilnius, Lithuania. E-mail: antanas.zilinskas@mii.vu.lt | [2] School of Mathematics, Cardiff University, Cardiff CF21 1AG, UK. E-mail: zhigljavskyaa@cardiff.ac.uk | [3] Lobachevsky Nizhny Novgorod State University, 23 Prospekt Gagarina, 603950 Nizhny Novgorod, Russia

Correspondence: [*] Corresponding author.

Abstract: This is a survey of the main achievements in the methodology and theory of stochastic global optimization. It comprises two complimentary directions: global random search and the methodology based on the use of stochastic models about the objective function. The main attention is paid to theoretically substantiated methods and mathematical results proven in the last 25 years.

Keywords: global optimization, statistical models, extreme value statistics, random search, kriging

Journal: Informatica, vol. 27, no. 2, pp. 229-256, 2016