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The UTEP group is developing a
hybrid algorithm for solving global
optimization problems that is based
on the coupling of a stochastic
global method (Simultaneous Perturbation
Stochastic Approximation, Simulated
Annealing, Genetic Algorithms) and
a local method (Newton-Krylov Interior-Point)
via a surrogate model. There exist
verified algorithms for finding
approximate global solutions, but
our technique will further guarantee
that such solutions satisfy physical
bounds of the problem. First, the
SPSA algorithm conjectures regions
where a global solution may exist.
Next, some data points from the
regions are selected to generate
a continuously differentiable surrogate
model that approximates the original
function. Finally, the interior
point Newton algorithm is applied
to the surrogate model subject to
bound constraints for obtaining
a feasible approximate global solution.
Numerical results in small to medium-scale
problems are presented.
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