Homotopy Optimization Methods for Global Optimization

摘要

We define a new method for global optimization, the Homotopy Optimization Method (HOM). This method differs from previous homotopy and continuation methods in that its aim is to find a minimizer for each of a set of values of the homotopy parameter, rather than to follow a path of minimizers. We define a second method, called HOPE, by allowing HOM to follow an ensemble of points obtained by perturbation of previous ones. We relate this new method to standard methods such as simulated annealing and show under what circumstances it is superior. We present results of extensive numerical experiments demonstrating performance of HOM and HOPE.