Unsorted Links on Global Optimization

*``Consider
everything.
Keep the
good.
Avoid evil
whenever you notice it.''*

(1 Thess. 5:21-22)

LINCOA, LINearly Constrained Optimization Algorithm

for up to a few hundred variables
(in Fortran 77, by Mike Powell)

Comparison of derivative-free optimization algorithms (2012, by Nick Sahinidis)

Black-Box Optimization Benchmarking (BBOB) 2012 (by Auger, Hansen, et al.)

Projective methods for constraint satisfaction and global optimization (slides of a lecture at ISMP2012)

Structure-driven methods for large-scale optimization

VXQR1, Derivative-free unconstrained optimization based on QR factorizations (by Arnold Neumaier)

IGPE - Incremental Global Parameter Estimation, for the global estimation of parameters in dynamical systems.

GloptLab, an easy-to-use testing and development platform for solving quadratic constraint satisfaction problems, written in Matlab. All implemented methods are rigorous, hence it is guaranteed that no feasible point is lost.

BMIBNB, Global solver for nonconvex problems in the YALMIP modeling environment (in Matlab, by Johan Löfberg)

Black Box Optimization with Data Analysis for the global optimization of smooth problems with expensive objective and/or constraints (by Kevin Kofler)

Global optimization and constraint satisfaction (slides of my GICOLAG talk)

The 2006 Beale-Orchard-Hays Prize for Excellence in Computational Mathematical Programming went to Nick Sahinidis and Mohit Tawarmalani for their paper describing the global optimization package BARON

LaGO, Branch and Cut algorithm for nonconvex mixed integer nonlinear programs

GICOLAG, Global Optimization - Integrating Convexity, Optimization, Logic Programming, and Computational Algebraic Geometry, A visiting and research program by the International Erwin Schrödinger Institute for Mathematical Physics (ESI) Vienna, Austria, October 1 - December 23, 2006

The NEOS Server offers BARON for the solution of global optimization problems in GAMS format (excellent package!)

Constrained global optimization (pdf, 225K), slides of a lecture (by Arnold Neumaier)

RSOLVER (by Stefan Ratschan)

for solving quantified inequality constraints. Examples include:
projecting the solution set of a set of inequality constraints to two
dimensions.

Books and papers on global optimization (Google scholar search)

Online Papers in Global Optimization (a random collection of about 300 papers)

ICOS, rigorous complete solver for continuous constraint satisfaction problems

Comparison of Global Solvers

Within the COCONUT project, we performed extensive tests of the global
solvers BARON, GlobSol, ICOS, LGO, LINGO, OQNLP, Premium Solver,
MINOS, and COCOS (the solver in the alpha test version of the
COCONUT environment) for various sublibraries of the COCONUT benchmark.

SNOBFIT, MATLAB 6 package for the robust and fast solution of optimization problems with continuous variables varying within bound, possibly subject to additional soft constraints

W. Huyer,
A comparison of some algorithms for bound constrained global
optimization, Manuscript (2004).
(pdf file, 69K)

The paper contains comparisons of the three heuristic global
optimization programs MCS, Global, PGSL, using black box function
evaluation only.

The COCONUT environment is publicly available in an alpha test version since March 20, 2004.

This almost book-sized survey covers the state of the art of techniques for solving general purpose constrained global optimization problems and continuous constraint satisfaction problems, with emphasis on complete techniques that provably find all solutions (if there are finitely many). The core of the material is presented in sufficient detail that the survey may serve as a text for teaching constrained global optimization.

Past Positions in Global Optimization

If you do lots of computer work, prevent Computer Related Repetitive Strain Injuries by improving your typing habits.

Global (and Local) Optimization

my home page
(http://www.mat.univie.ac.at/~neum)

Arnold Neumaier (Arnold.Neumaier@univie.ac.at)