Global optimization by multilevel partition

摘要

Partition-based algorithms, such as the DIRECT algorithm, are popular algorithms for solving global optimization problems. However, these algorithms often have an eventually inefficient behavior due to much more costs requirement to obtain a solution with higher accuracy. In this paper, we present an algorithm framework for bound constrained global optimization problems based on a multilevel partition strategy. This multilevel partition strategy can be regarded as a combination of the basic partition strategy and the multigrid algorithm, which is one of the best algorithms to solve partial differential equation. Our basic idea is to combine the multigrid algorithm with the partition-based algorithm to improve the eventually inefficient behavior of the partition-based algorithm. First, we provide a general framework of the partition-based algorithms which include the DIRECT algorithm as a special case. Then we present a strategy to build the subproblem at the coarse level. This strategy is easy to implement and brings no more computational costs. Under mild conditions, we show that the sequence generated by the proposed global optimization algorithm framework converges to the global optimum. Finally, we employ the original DIRECT algorithm to build a specific global optimization algorithm based on multilevel partition and compare it with the original DIRECT algorithm. Our numerical results show that obtained algorithm improves significantly the eventually inefficient behavior of the original DIRECT algorithm when the required accuracy is high.