Comparative study of penalty simulated annealing methods for multiglobal programming

• Main Author: Pereira, Ana I.
• Publication Date: 2010
• Other Authors: Fernandes, Edite M.G.P.
• Language: eng
• Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
• Download full: http://hdl.handle.net/10198/4707
• topic: Nonlinear optimization; Multiglobal optimization; Simulated annealing

In a multiglobal optimization problem we aim to find all the global solutions of a constrained nonlinear programming problem where the objective function is multimodal. This class of global optimization problems is very important and frequently encountered in engineering applications, such as, process synthesis, design and control in chemical engineering. The most common method for solving this type of problems uses a local search method to refine a set of approximations, which are obtained by comparing objective function values at points of a predefined mesh. This type of method can be very expensive numerically. On the other hand, the success of local search methods depends on the starting point being at the neighbourhood of a solution. Stochastic methods are appropriate alternatives to find global solutions, in which convergence to a global solution can be guaranteed, with probability one. This is the case of the simulated annealing (SA) method. To compute the multiple solutions, a function stretching technique that transforms the objective function at each step is herein combined with SA to be able to force, step by step, convergence to each one of the required global solutions. The constraints of the problem are dealt with a penalty technique. This technique transforms the constrained problem into a sequence of unconstrained problems by penalizing the objective function when constraints are violated. Numerical experiments are shown with three penalty functions.