Blog Archives

A Quick Analysis of Heuristic Optimization by Stochastic Genetic Algorithms and Particle Swarm

I have been inspired by Varadi’s latest series of posts in http://cssanalytics.wordpress.com regarding Heuristic optimization techniques (particularly Genetic Algorithms, GAs, and Particle Swarm Optimization, PSO) to perform a quick analysis comparing said techniques. I highly recommend you read the http://cssanalytics.wordpress.com

Posted in Optimization Algorithms

Hybridization of DIRECT with Local Optimization Techniques

The hybridization of DIRECT with IF or BFGS operates by first allowing DIRECT to globally explore the search space. As described in my previous post, a large number of function evaluations would be required in order for DIRECT to find

Posted in Optimization Algorithms

DIviding RECTangle = DIRECT; A Partitioning Algorithm

DIRECT, which is shorthand for Dividing Rectangles, is a derivative-free, sampling optimization algorithm. More specifically, DIRECT is a partitioning algorithm that samples points in a given domain and then refines the search domain at each iteration based on the function

Posted in Optimization Algorithms

Particle Swarm Optimization and General Pattern Search

My post-doc supervisor is using a hybridization of particle swarm with a general pattern search for his oil well placement and parameterization optimization problem. PSO and GPS is described below: PSO Particle Swarm Optimization is a gradient free optimization method

Posted in Optimization Algorithms

BFGS – Gradient Approximation Methods

The Broyden-Fletcher-Goldfarb-Shanno (BFGS) method is the most commonly used update strategy for implementing a Quasi-Newtown optimization technique. Newton’s method was first derived as a numerical technique for solving for the roots of a nonlinear equation. Newton’s Method solves for the

Posted in Optimization Algorithms

Implicit Filtering – Thank You C.T. Kelley

Implicit Filtering (IF) (designed by C.T. Kelley) is a sophisticated, deterministic pattern search method for bound constrained optimization. Like most pattern search algorithms, the evaluation of the objective function at time step i is used to determine the next cluster

Posted in Optimization Algorithms

Genetic Algorithm – A class of Evolutionary Algorithms

Originally a Genetic Algorithm (GA) was proposed for optimization of the likelihood function . Like most evolutionary algorithms, a GA is a stochastic sampling method that repeatedly refines a population or set of candidate solutions. The method is based on

Posted in Optimization Algorithms